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Extreme value theory

Known as: Extreme value analysis, Extreme-value theory, EVT 
Extreme value theory or extreme value analysis (EVA) is a branch of statistics dealing with the extreme deviations from the median of probability… Expand
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Highly Cited
2009
Highly Cited
2009
Recent increases in energy prices, especially oil prices, have become a principal concern for consumers, corporations, and… Expand
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Highly Cited
2008
Highly Cited
2008
It has been widely known that one of the key design parameters in orthogonal frequency division multiplexing (OFDM) systems is… Expand
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Highly Cited
2006
Highly Cited
2006
This treatment of extreme value theory is unique in book literature in that it focuses on some beautiful theoretical results… Expand
Highly Cited
2006
Highly Cited
2006
Assessing the probability of rare and extreme events is an important issue in the risk management of financial portfolios… Expand
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Highly Cited
2005
Highly Cited
2005
Nord Pool, the first multinational exchange for electricity trading, has existed since January 1996. Typical characteristics of… Expand
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Highly Cited
1999
Highly Cited
1999
The financial industry, including banking and insurance, is undergoing major changes. The (re)insurance industry is increasingly… Expand
Highly Cited
1999
Highly Cited
1999
Abstract Extreme value theory for the maximum of a time series of daily precipitation amount is described. A chain-dependent… Expand
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Highly Cited
1998
Highly Cited
1998
Recent literature has trumpeted the claim that extreme value theory (EVT) holds promise for accurate estimation of extreme… Expand
Highly Cited
1997
Highly Cited
1997
This article presents an application of extreme value theory to compute the value at risk of a market position. In statistics… Expand
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Highly Cited
1988
Highly Cited
1988
Introduction and Motivation. Order Statistics. Asymptotic Distributions of Maxima and Minima (I.D. Case). Shortcut Procedures… Expand