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Applications of Extreme Value Theory
Basic themes of document: Gumbel distribution; extrem value theoryWeibull distributions...
BB - Aplikovaná statistika, operační výzkum
- 2010 •
- D
Rok uplatnění
D - Stať ve sborníku
Comparison Value at Risk with Extreme Value Theory
and Student distribution is explained and subsequently Extreme Value Theory. There are estimated value of given probability distribution and Extreme Value Theory. The data at Risk method...
AH - Ekonomie
- 2013 •
- D
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D - Stať ve sborníku
Estimation of Extreme Value Index
Main topics of the document: generalized extreme value distribution; sample maximum; Gumbel distribution; Hill estimator; Pickands estimator; conditional distribution......
BB - Aplikovaná statistika, operační výzkum
- 2010 •
- D
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D - Stať ve sborníku
Limiting Probability Distribution of Random Sample Maximum
Basic themes of document: Gumbel distribution; extreme value distribution; quantile function...
BB - Aplikovaná statistika, operační výzkum
- 2009 •
- D
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D - Stať ve sborníku
EVDgraph 1.0
Program in Matlab which is intended for graphical representation and analysis of distributions from the domain of attraction of extreme value distributions....
BB - Aplikovaná statistika, operační výzkum
- 2010 •
- R
Rok uplatnění
R - Software
Determination of Value at Risk via Extreme Value Theory
Value at Risk and Expected Shortfall, under assumption of traditional distribution and via the Extreme Value Theory within Solvency II, ie. that the VaR Extreme Value Theory and its version of the...
AH - Ekonomie
- 2011 •
- D
Rok uplatnění
D - Stať ve sborníku
Demonstrational Software for Extreme Value Distributions
the domains of attraction of extreme value distributions. Furthermore, this software of extreme value distributions, estimate parameters of the distributions by using methodTheory of
BB - Aplikovaná statistika, operační výzkum
- 2011 •
- Jx
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Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Aysmptotic Probability Distribution of Sample Maximum
Basic themes of document: extreme value theoty; Gumbel distribution; method of point estimation...
BB - Aplikovaná statistika, operační výzkum
- 2008 •
- Jx
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Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
EVDsim 1.0
Program in Matlab which is intended for graphical representation of speed of convergence of distributions from the domain of attraction of extreme value distributions to the specific limit distribution....
BB - Aplikovaná statistika, operační výzkum
- 2010 •
- R
Rok uplatnění
R - Software
Example of a Non-standard Extreme Value Law
entropy have extreme-value laws which in the limit converge to one of the three standard distributions known for independently and identically distributed processes, namely Gumbel, Fréchet and Weibull distribu...
BB - Aplikovaná statistika, operační výzkum
- 2015 •
- Jx •
- Link
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Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
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