Extreme value theory (EVT) application on estimating the distribution of maxima

F. A. Ramadhani, Siti Nurrohmah, Mila Novita

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Citation (Scopus)

Abstract

Extreme Value Theory (EVT) has emerged as one of the most important statistical theories for the applied sciences. EVT provides a firm theoretical foundation for building a statistical model describing extreme events. The feature that distinguish extreme value analysis than other statistical analysis is the ability to quantify the behavior of unusually large values even when those values are scarce. One of the key results from EVT is the ability to estimate the distribution of maximum value, that usually called as maxima, using the asymptotic argument. In order to build such models, the Fisher-Tippett theorem which specifies the form of the limit distribution for transformed maxima will be greatly used. Furthermore, it can be shown that there are only three families of possible limit laws for distribution of maxima, which are the Gumbel, Frechet, and Weibull distributions. These three distributions can be expressed in a single distribution function called the generalized extreme value (GEV) distribution.

Original languageEnglish
Title of host publicationInternational Symposium on Current Progress in Mathematics and Sciences 2016, ISCPMS 2016
Subtitle of host publicationProceedings of the 2nd International Symposium on Current Progress in Mathematics and Sciences 2016
EditorsKiki Ariyanti Sugeng, Djoko Triyono, Terry Mart
PublisherAmerican Institute of Physics Inc.
ISBN (Electronic)9780735415362
DOIs
Publication statusPublished - 10 Jul 2017
Event2nd International Symposium on Current Progress in Mathematics and Sciences 2016, ISCPMS 2016 - Depok, Jawa Barat, Indonesia
Duration: 1 Nov 20162 Nov 2016

Publication series

NameAIP Conference Proceedings
Volume1862
ISSN (Print)0094-243X
ISSN (Electronic)1551-7616

Conference

Conference2nd International Symposium on Current Progress in Mathematics and Sciences 2016, ISCPMS 2016
CountryIndonesia
CityDepok, Jawa Barat
Period1/11/162/11/16

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    Ramadhani, F. A., Nurrohmah, S., & Novita, M. (2017). Extreme value theory (EVT) application on estimating the distribution of maxima. In K. A. Sugeng, D. Triyono, & T. Mart (Eds.), International Symposium on Current Progress in Mathematics and Sciences 2016, ISCPMS 2016: Proceedings of the 2nd International Symposium on Current Progress in Mathematics and Sciences 2016 [030156] (AIP Conference Proceedings; Vol. 1862). American Institute of Physics Inc.. https://doi.org/10.1063/1.4991260