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Extreme value theory in emerging markets [PDF]
Ekonomski Anali, 2010 This paper investigates the performance of extreme value theory (EVT) with the daily stock index returns of four different emerging markets. The research covers the sample representing the Serbian (BELEXline), Croatian (CROBEX), Slovenian (SBI20), and ...
Anđelić Goran +2 more
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New extreme value theory for maxima of maxima
Statistical Theory and Related Fields, 2021 Although advanced statistical models have been proposed to fit complex data better, the advances of science and technology have generated more complex data, e.g., Big Data, in which existing probability theory and statistical models find their ...
Wenzhi Cao, Zhengjun Zhang
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Extreme Value Theory and Value at Risk: Application to OPEC Market [PDF]
Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2019 Regarding the role of the energy market, especially oil, on the economy of countries, it is important to identify the future evolution of the market. In this respect, predicting the changeable extreme evolution of the oil price is crucial for decision ...
mahtab mehrasa, Teymour Mohamadi
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Indonesian Journal of Earth Sciences, 2023 The long-term pattern of severe incidents is one of the most crucial and fascinating topics of seismic events. This work aims to analyze the maximum annual earthquake magnitude in the Makran subduction zone using extreme value theory by implementing the
Adil Rehman, Huai Zhang
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Biases in Estimating Long‐Term Recurrence Intervals of Extreme Events Due To Regionalized Sampling
Geophysical Research Letters, 2023 Preparing for environmental risks requires estimating the frequencies of extreme events, often from data records that are too short to confirm them directly. This requires fitting a statistical distribution to the data.
Moutassem El Rafei +4 more
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Agglomerative Clustering with Threshold Optimization via Extreme Value Theory
Algorithms, 2022 Clustering is a critical part of many tasks and, in most applications, the number of clusters in the data are unknown and must be estimated. This paper presents an Extreme Value Theory-based approach to threshold selection for clustering, proving that ...
Chunchun Li +6 more
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Bridge Damage Detection Using Complexity Pursuit and Extreme Value Theory
Buildings, 2023 Bridge structures are susceptible to environmental and operational variations (EOVs). Improperly handling these influences may result in incorrect assessments of the bridge’s health condition.
Xun Liu, Weidong Zhuo, Jie Yang
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Extreme events in total ozone over Arosa – Part 1: Application of extreme value theory [PDF]
Atmospheric Chemistry and Physics, 2010 In this study ideas from extreme value theory are for the first time applied in the field of stratospheric ozone research, because statistical analysis showed that previously used concepts assuming a Gaussian distribution (e.g. fixed deviations from mean
H. E. Rieder +8 more
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Nonparametric smoothing in extreme value theory [PDF]
, 2010 Includes bibliographical references (leaves 137-138).This work investigates the modelling of non-stationary sample extremes using a roughness penalty approach, in which smoothed natural cubic splines are fitted to the location and scale parameters of the
Clur, John-Craig
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Weibull-Open-World (WOW) Multi-Type Novelty Detection in CartPole3D
Algorithms, 2022 Algorithms for automated novelty detection and management are of growing interest but must address the inherent uncertainty from variations in non-novel environments while detecting the changes from the novelty.
Terrance E. Boult +4 more
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