Extreme Value Theory: An Introductory Overview
Author:
Affiliation:
1. CEAUL; University of Lisbon; Portugal
2. CEAUL, Portugal and Department of Mathematics and Statistics; University of Reading; United Kingdom
Publisher
John Wiley & Sons, Inc.
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1002/9781118650318.ch4/fullpdf
Reference94 articles.
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2. High quantiles estimation with quasi-PORT and DPOT: an application to value-at-risk for financial variables;Araújo Santos,;The North American Journal of Economics and Finance,2013
3. Residual life time at great age;Balkema,;Annals of Probability,1974
4. Comparison of estimators in multivariate EVT;Barão,;International Journal of Statistics and Systems (IJSS),2007
5. Extremal analysis of short series with outliers: sea-levels and athletic records;Barão,;Journal of the Royal Statistical Society: Series C - Applied Statistics,1999
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