Extreme Value Analysis: an Introduction

  • Myriam Charras-Garrido
  • Pascal Lezaud ENAC

Résumé

We provide an overview of the probability and statistical tools underlying the extreme value theory, which aims to predict occurrence of rare events. Firstly, we explain that the asymptotic distribution of extreme values belongs, in some sense, to the family of the generalised extreme value distributions which depend on a real parameter, called the extreme value index. Secondly, we discuss statistical tail estimation methods based on estimators of the extreme value index.
Publiée
2013-09-16
Rubrique
Numéro spécial : statistique des valeurs extrêmes