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 |