TY - GEN

T1 - Extreme value theory (EVT) application on estimating the distribution of maxima

AU - Ramadhani, F. A.

AU - Nurrohmah, S.

AU - Novita, M.

N1 - Publisher Copyright:
© 2017 Author(s).

PY - 2017/7/10

Y1 - 2017/7/10

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=85026236851&partnerID=8YFLogxK

U2 - 10.1063/1.4991260

DO - 10.1063/1.4991260

M3 - Conference contribution

AN - SCOPUS:85026236851

T3 - AIP Conference Proceedings

BT - International Symposium on Current Progress in Mathematics and Sciences 2016, ISCPMS 2016

A2 - Sugeng, Kiki Ariyanti

A2 - Triyono, Djoko

A2 - Mart, Terry

PB - American Institute of Physics Inc.

T2 - 2nd International Symposium on Current Progress in Mathematics and Sciences 2016, ISCPMS 2016

Y2 - 1 November 2016 through 2 November 2016

ER -