Estimating Long Tail Models for Risk Trends

Abstract

This letter develops a method for estimating trends of extreme events statistics across multiple time periods. Some of the periods might have no extreme events and some might have much data. The extreme event distribution is modeled with a Pareto or exponential tail. The method requires selecting an extreme event threshold and then solving two convex… (More)
DOI: 10.1109/LSP.2014.2378787

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