Results 11 to 20 of about 1,747,393 (329)
The new hybrid value at risk approach based on the extreme value theory [PDF]
Estudios de Economía, 2016 In this paper the authors introduce a new hybrid approach based on the Extreme Value Theory (EVT) to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions.
Nikola Radivojević +2 more
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Extreme value theory inspires explainable machine learning approach for seizure detection [PDF]
Scientific Reports, 2022 Epilepsy is one of the brightest manifestations of extreme behavior in living systems. Extreme epileptic events are seizures, that arise suddenly and unpredictably.
Oleg E. Karpov +8 more
doaj +2 more sources
EXTREME VALUE THEORY WITH OPERATOR NORMING. [PDF]
Extremes (Boston), 2013 A new approach to extreme value theory is presented for vector data with heavy tails. The tail index is allowed to vary with direction, where the directions are not necessarily along the coordinate axes. Basic asymptotic theory is developed, using operator regular variation and extremal integrals.
Meerschaert MM, Scheffler HP, Stoev SA.
europepmc +5 more sources
Records in Athletics Through Extreme-Value Theory [PDF]
SSRN Electronic Journal, 2006 In this paper we shall be interested in two questions on extremes relating to world records in athletics.The first question is: what is the ultimate world record in a specific athletics event (such as the 100m for men or the high jump for women), given today's state of the art?Our second question is: how `good' is a current athletics world record?An ...
Einmahl, John H. J., Magnus, Jan R.
openaire +8 more sources
Extreme Value Laws for Superstatistics
Entropy, 2014 We study the extreme value distribution of stochastic processes modeled by superstatistics. Classical extreme value theory asserts that (under mild asymptotic independence assumptions) only three possible limit distributions are possible, namely: Gumbel,
Pau Rabassa, Christian Beck
doaj +4 more sources
Risk Management with Extreme Value Theory [PDF]
, 2002 In this paper we review certain aspects around the Value-at-Risk, which is nowadays the industry benchmark risk measure. As a small quantile (usually 1%) Value-at-Risk is closely related to extreme value theory. We explain an estimation method based on extreme value theory.
Claudia Klüppelberg
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Joint Risk Analysis of Extreme Rainfall and High Tide Level Based on Extreme Value Theory in Coastal Area. [PDF]
Int J Environ Res Public Health, 2023 Chen H, Xu Z, Chen J, Liu Y, Li P.
europepmc +3 more sources
Rates of convergence for Renyi entropy in extreme value theory [PDF]
, 2014 Max stable laws are limit laws of linearly normalized partial maxima of independent identically distributed random variables. Saeb (2014) proves that the Renyi entropy of order b (b > 1) of linear normalized maximum of iid random variables with ...
Ali Saeb
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Extreme Value Theory and Auction Models
Revista Mexicana de Economía y Finanzas Nueva Época REMEF, 2021 El objetivo de este artículo es desarrollar un enfoque paramétrico para estimar subastas con datos incompletos utilizando la Teoría de los Valores Extremos (EVT).
Paolo Riccardo Morganti
doaj +1 more source
Using extreme value theory approaches to forecast the probability of outbreak of highly pathogenic influenza in Zhejiang, China. [PDF]
PLoS One, 2015 Chen J, Lei X, Zhang L, Peng B.
europepmc +3 more sources