13 Extreme Value Analysis
13.1 Extreme Value Models
13.2 Generalized Pareto Distributions
13.3 Mean Excess Functions
13.4 Estimation in EV Models
13.5 Fitting GP Distributions to the Upper Tail
13.6 Parametric Estimators for GP Models
13.6.1 Moment Estimator
13.6.2 ML Estimator in the GP Model
13.6.3 Pickands Estimator
13.6.4 Drees-Pickands Estimator
13.6.5 Hill Estimator
13.6.6 ML Estimator for Exponential Distributions
13.6.7 Selecting a Threshold by Means of a Diagram
13.7 Graphical User Interface
13.8 Example
Bibliography