• 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