Extreme Value Methods with Applications to Finance

ISBN: 9781439835746 出版年：2011 页码：397 Novak, Serguei Y CRC Press

Extreme value theory (EVT) deals with extreme (rare) events, which are sometimes reported as outliers. Certain textbooks encourage readers to remove outliers-in other words, to correct reality if it does not fit the model. Recognizing that any model is only an approximation of reality, statisticians are eager to extract information about unknown di