ESTIMASI VALUE AT RISK DAN EXPECTED SHORTFALL UNTUK HETEROSKEDASTIK RUNTUN WAKTU FINANSIAL DENGAN GENERALIZED PARETO DISTRIBUTION by , HERMANSAH, , Dr. Abdurakhman, M.Si.

“…The method used is combination of GARCH models and Extreme Value Theory (EVT). The GARCH models used to estimate volatility and EVT for estimating the tail of distribution. …”

Data and uncertainty in extreme risks: a nonlinear expectations approach by Cohen, S

“…However, when we are in a heavy-tailed context (in particular when our data are described by a Pareto distribution, as is common in much of extreme value theory), the theory of [5] is insufficient, and requires an additional regularization step which we introduce. …”

Analytical approach for determining the mean water level profile in an estuary with substantial fresh water discharge by H. Cai, H. H. G. Savenije, C. Jiang, L. Zhao, Q. Yang

“…Finally, we show that, in combination with extreme-value theory (e.g. generalized extreme-value theory), the method may be used to obtain a first-order estimation of the frequency of extreme water levels relevant for water management and flood control. …”
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Modeling Best Practice Life Expectancy Using Gumbel Autoregressive Models by Anthony Medford

“…Best practice life expectancy has recently been modeled using extreme value theory. In this paper we present the Gumbel autoregressive model of order one—Gumbel AR(1)—as an option for modeling best practice life expectancy. …”
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Dynamics of an Impulsive Stochastic Predator–Prey System with the Beddington–DeAngelis Functional Response by Yuanfu Shao

“…Then, by constructing suitable functionals and applying the extreme-value theory of quadratic functions, sufficient conditions on the existence of periodic Markovian processes are provided. …”
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Madogram and Asymptotic Independence among Maxima by Armelle Guillou, Philippe Naveau, Antoine Schorgen

“… A strong statistical research effort has been devoted in multivariate extreme value theory in order to assess the strength of dependence among extremes. …”
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Novelty detection with multivariate extreme value statistics by Clifton, D, Hugueny, S, Tarassenko, L

“…If that model is composed of generative probability distributions, the extent of “normality” in the data space can be described using Extreme Value Theory (EVT), a branch of statistics concerned with describing the tails of distributions. …”

Modelling record times in sport with extreme value methods by Adam, Mohd Bakri, Tawn, Jonathan A.

“…We exploit connections between extreme value theory and record processes to develop inference methods for record processes. …”
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Analysis and Simulation of Workspace of Dual-arm Robot by Xie Shengliang, Liu Zuoshi

“…Thirdly,the method of partitioning by angle and the extreme value theory are used to extract the boundary points of the workspace. …”
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A joint Chow test for structural instability by Nielsen, B, Whitby, A

“…We then use results in extreme value theory to develop a new supremum version of the test, suitable for formal testing of structural instability with an unknown break-point. …”

Point process models for novelty detection on spatial point patterns and their extremes by Luca, SE, Pimentel, MAF, Watkinson, PJ, Clifton, DA

“…Moreover, for other multivariate distributions, an analytic approximation is obtained, by the use of extreme value theory, to model point patterns that occur in low-density regions as defined by X. …”

Weather regime dependence of extreme value statistics for summer temperature and precipitation by P. Yiou, K. Goubanova, Z. X. Li, M. Nogaj

“…Extreme Value Theory (EVT) is a useful tool to describe the statistical properties of extreme events. …”
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A comparison of market risk measures from a twofold perspective: accurate and loss function by Sonia Benito Muela, Carmen López-Martin, Raquel Arguedas-Sanz

“…The results indicate that the method based on the conditional Extreme Value Theory (EVT) is the best in estimating market risk, outperforming Parametric method and Filter Historical Simulation.…”
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Scale-free networks well done by Ivan Voitalov, Pim van der Hoorn, Remco van der Hofstad, Dmitri Krioukov

“…In contrast to estimators that are currently popular in network science, the estimators considered here are based on fundamental results in extreme value theory, and so are the proofs of their consistency. …”
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The stopped clock model by Ferreira Helena, Ferreira Marta

“…The extreme value theory presents specific tools for modeling and predicting extreme phenomena. …”
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A Joint Chow Test for Structural Instability by Bent Nielsen, Andrew Whitby

“…We then use the results in extreme value theory to developa new supremum version of the test, suitable for formal testing of structural instability withan unknown break-point. …”
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A machine learning microstructurally predictive framework for the failure of hydrided zirconium alloys by Tamir Hasan, Laurent Capolungo, Mohammed Zikry

“…The machine learning (ML) analysis is based on Extreme Value Theory (EVT) and a Bayesian based Gaussian Process Regression (GPR). …”
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A New Point Process Regression Extreme Model Using a Dirichlet Process Mixture of Weibull Distribution by Yingjie Wang, Xinsheng Liu

“…The extreme value theory is widely used in economic and environmental domains, it aims to study the stochastic extreme behaviors associated with rare events. …”
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PINNING THE TAIL ON THE DISTRIBUTION: A MULTIVARIATE EXTENSION TO THE GENERALISED PARETO DISTRIBUTION by Clifton, D, Hugueny, S, Tarassenko, L, IEEE

“…Models of normality are constructed from commonly-available examples of "normal" behaviour, and we then reason about the presence of abnormalities with respect to this normal model. Extreme value theory (EVT) is a branch of statistics that is concerned with modelling extremal events, and is therefore appealing for use with novelty detection. …”

Multiple-try Metropolis Hastings for modeling extreme PM10 data by Mohd Amin, Nor Azrita, Adam, Mohd Bakri, Ibrahim, Noor Akma

“…Awareness of catastrophic events brings the attention to work out the relationship of these events by using statistical analysis of Extreme Value Theory (EVT). This study focused on extreme PM10 data using a Gumbel distribution which is one of the Extreme Value distributions. …”
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