Extreme Value Analysis
1. Extreme Value Models
2. Generalized Pareto Distributions
3. Assessing the Adequacy: Mean Excess Functions
4. Estimation in EV Models
4.1 Linear Combination of Ratios of Spacings (LRS)
4.2 ML Estimator in the EV Model
4.3 ML Estimator in the Gumbel Model
5. Fitting GP Distributions to the Upper Tail
6. Parametric Estimators for GP Models
6.1 Moment Estimator
6.2 ML Estimator in the GP Model
6.3 Pickands Estimator
6.4 Drees-Pickands Estimator
6.5 Hill Estimator
6.6 ML Estimator for Exponential Distributions
6.7 Selecting a Threshold by Means of a Diagram
7. Graphical User Interface
8. Example
Bibliography