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Bayesian Analysis of Extreme Values by Mixture Modeling
Extremes, 2003It is supposed that the observed exceedances over some fixed threshold are generated by a Poisson process with intensity \[ \Lambda_y= ( 1+\xi(y-\mu)/ \psi)^{-1/\xi}, \] where \(\mu\) is the location, \(\psi\) is the scale and \(\xi\) is the shape parameter.
Bottolo, Leonardo +3 more
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Extreme value analysis in biometrics
Biometrical Journal, 2009AbstractWe review some approaches of extreme value analysis in the context of biometrical applications. The classical extreme value analysis is based on iid random variables. Two different general methods are applied, which will be discussed together with biometrical examples.
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2000
The extreme (upper or lower) parts of a sample, such as flood discharges; high concentration of air pollutants; claim sizes over a higher priority in reinsurance business; larger losses on financial markets; have exhibited an increasing risk potential during the last decades.
Rolf-Dieter Reiss, Michael Thomas
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The extreme (upper or lower) parts of a sample, such as flood discharges; high concentration of air pollutants; claim sizes over a higher priority in reinsurance business; larger losses on financial markets; have exhibited an increasing risk potential during the last decades.
Rolf-Dieter Reiss, Michael Thomas
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Extreme Value Analysis for Financial Risk Management
Annual Review of Statistics and Its Application, 2021This article reviews methods from extreme value analysis with applications to risk assessment in finance. It covers three main methodological paradigms: the classical framework for independent and identically distributed data with application to risk estimation for market and operational loss data, the multivariate framework for cross-sectional ...
Nolde, N, Zhou, Chen
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Regional Extreme Value Analysis
2021This chapter focuses on the occurrence of extreme natural hazards in non-instrumented locations, whose neighborhood contains sites for which measured data are available. The spatial regionalization approach developed here, which is based on the detection of regions that are homogeneous in terms of risk, allows to propose a localized quantification of ...
Jérôme Weiss, Marc Andreewsky
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IT Design for Resiliency Using Extreme Value Analysis
2021Safety-critical systems are designed to operate millions of hours without losing or harming life. Millions of hours enable events with small occurrence probability to materialise. Owing to this, rare events have to be factored when designing for millions of safe operating hours.
Szilárd Bozóki, András Pataricza
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Problems in the extreme value analysis
Structural Safety, 2008Engineering design for structural safety is largely based on the statistics of natural hazards. These statistics are utilized by applying the theory of extremes, which predicts a cumulative distribution function of the extreme events. The parameters of this distribution are found by a fit to the historical extremes and the probabilities of potentially ...
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