منابع مشابه
Extreme Value Theory in Finance
Extreme value theory is a practical and useful tool for modeling and quantifying risk. In this article, after introducing basic concepts, we indicate how to apply it within a financial framework.
متن کاملAspects of Extreme Value Theory for Stationary Processes - a Survey
SUMMARY The primary concern in this paper is with the distributional results of classical extreme value theory, anc their developMent to apply to stationary processes. The main emphasis is on stationary sequences, where the theory is \'lell developed. :\esults available for continuous parameter processes are also described, but with particular reference to stationary normal processes.
متن کاملExtreme Value Theory
Extreme Value Theory is the branch of statistics that is used to model extreme events. The topic is of interest to meteorologists because much of the recent literature on climate change has focussed on the possibility that extreme events (very high or low temperatures, high precipitation events, droughts, hurricanes etc.) may be changing in parallel with global warming. As a specific example, t...
متن کاملExtreme Value Theory for Random Exponentials
We study the limit distribution of upper extreme values of i.i.d. exponential samples {ei}i=1 as t →∞, N →∞. Two cases are considered: (A) ess sup X = 0 and (B) ess sup X = ∞. We assume that the function h(x) = − log P{X > x} (case B) or h(x) = − log P{X > −1/x} (case A) is (normalized) regularly varying at ∞ with index 1 < % < ∞ (case B) or 0 < % < ∞ (case A). The growth scale of N is chosen i...
متن کاملUsing extreme value theory for image detection
The primary target of content based image retrieval is to return a list of images that are most similar to a query image. This is usually done by ordering the images based on a similarity score. In most state-of-the-art systems, the magnitude of this score is very different from a query to another. This prevents us from making a proper decision about the correctness of the returned images. This...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.1998740