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
13.4.1 Linear Combination of Ratios of Spacings (LRS)
13.4.2 ML Estimator in the EV Model
13.4.3 ML Estimator in the Gumbel Model
13.5 Fitting GP Distributions to the Upper Tail
13.6 Parametric Estimators for GP Models
13.7 Graphical User Interface
13.8 Example
Bibliography