An entropy-based validation of threshold selection technique for extreme value analysis and risk assessment

DOI10.1134/s1995080224600043MaRDI QIDQ6634972

K. M. Sakthivel, V. Nandhini

Publication date: 8 November 2024

Published in: Lobachevskii Journal of Mathematics (Search for Journal in Brave)

zbMATH Keywords

extreme value distributionstail behaviorthresholdexceedancesreturn levels

Mathematics Subject Classification ID

Applications of statistics (62Pxx) Nonparametric inference (62Gxx) Limit theorems in probability theory (60Fxx)

Cites Work

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• On the block maxima method in extreme value theory: PWM estimators
• Extreme Value Theory as a Risk Management Tool
• An introduction to statistical modeling of extreme values

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