Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 54 for “"extreme value theory"”.
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Nonparametric smoothing in extreme value theory
… the modelling of non-stationary sample extremes using a roughness penalty approach, in which smoothed natural cubic splines are fitted to the location and scale parameters of the generalized extreme value distribution and the distribution of the r largest order statistics. Estimation is …
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Extreme value theory and its application to motor insurance
… research is concerned with the application of extreme value theory to motor insurance generally, and, in particular, to motor insurance in the Egyptian market. Since this theory was introduced there have been many attempts to use it in some insurance fields, but very few attempts have been made …
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Refining Value-at-Risk estimates: An Extreme Value Theory Approach
This thesis proposes new approaches to Value-at-Risk estimation using (1) Multivariate GARCH Dynamic Conditional Correlation volatility model with skewed Student’s-t distributions, (2) Bayesian GARCH model with Student’s-t distribution, and (3) Bayesian Markov-Switching GJR-GARCH model with skewed …
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Extreme Value Theory with an Application to Bank Failures through Contagion
… banking system in the past, and (ii) using the extreme value theory (EVT) to model the tail part of the shocks. The external shocks we considered in this study are due to exchange rate and treasury bill rate volatility. Also, an ARMA/GARCH model is used to extract iid residuals for this purpose. …
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Application of extreme value theory to the calculation of value-at-risk
The main aim of the study was to test the applicability of published EVT-based VaR calculation methods to the South African market. Two methods were tested on a hypothetical portolio of South African stocks, using the standard backtesting technique.
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Scheduling of manufacturing systems based on extreme value theory and genetic algorithms
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Mechanical Engineering, 1995.
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Multivariate Extreme Value Theory with an application to climate data in the Western Cape Province
… noticeable that there is an upward trend in extreme weather conditions. The aim of this study is to evaluate the efficacy of univariate and multivariate extreme value theory models on climate data in the Western Cape province of South Africa. Data collected since 1965 from five weather …
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Extreme value theory: Applications to estimation of stochastic traffic capacity and statistical downscaling of precipitation extremes
<p>This work explores two applications of extreme value analysis. First, we apply EV techniques to traffic stream data to develop an accurate distribution of capacity. Data were collected by the NHDOT along Interstate I93, and two adjacent locations in Salem, NH were examined. Daily flow maxima …
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Air quality applications of extreme value theory : return levels of extreme ozone events in Chicago and surrounding areas
… the Air Quality System is analyzed. Methods from extreme value theory are applied to calculate and compare 20-year return levels at 5 urban and 17 rural/suburban sites in Illinois based upon maximum daily 8-. hour average ozone concentrations from summer (JJA) for two periods (1992- 2002 and …
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Max-Stable Processes, Measure Transport & Conditional Sampling
The modeling of extremes, known as extreme value theory (EVT), aims to understand events characterized by extreme deviations from the mean of a probability distribution. These events are significant in fields such as finance, environmental science, engineering, and insurance. EVT aims to predict …
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Extreme Value Analysis of Rainfall Events Over the Kennedy Space Center Complex
… to determine the occurrence frequencies of extreme weather events has gained a lot of recent interest due to concerns about the potential regional impacts from global climate change. Extreme-value theory can quantify the return frequency of the most extreme events, using climatologically …
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Extreme Value Analysis of Rainfall Events Over the Kennedy Space Center Complex
… to determine the occurrence frequencies of extreme weather events has gained a lot of recent interest due to concerns about the potential regional impacts from global climate change. Extreme-value theory can quantify the return frequency of the most extreme events, using climatologically …
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The Distribution of Fitness Effects of Synonymous Mutations in a Gene under Selection
… effects as the nonsynonymous sample. Drawing on extreme value theory, we show that the fitness effects of synonymous mutations correspond to a distribution with a right-truncated tail belonging to the Weibull domain of the Generalised Pareto Distribution. Moreover, the distribution of beneficial …
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An examination of large commercial banks within G-10: risk, efficiency, and the 1996 market risk amendment.
… simulation, Monte Carlo simulation, and Extreme Value Theory) to calculate bank risk in a period of high 4 financial market volatility: 1992 through to 1998. The results show a strong increase in VaR for the years 1997 and 1998, with Japan showing the largest risk ranking over the period, …
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Future changes in extreme rainfall events and circulation patterns over southern Africa
Changes in precipitation extremes are projected by many global climate models as a response to greenhouse gas increases, and such changes will have significant environmental and social impacts. These impacts are a function of exposure and vulnerability. Hence there is critical need to understand …
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Kai kurios sudėtinio lognormaliojo – apibendrinto Pareto skirstinio savybės /
… the tails of loss severity distributions using extreme value theory“ (ASTIN Bulletin, 27, pages 117-137). The first article presents a two - parameter smooth continuous composite lognormal - Pareto model. The second one analyses generalised Pareto distribution and how does this distribution …
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SEMIPARAMETRIC METHODS IN THE ESTIMATION OF TAIL PROBABILITIES AND EXTREME QUANTILES
… small threshold exceedance probabilities and extreme quantiles arise ubiquitously in bio-surveillance, economics, natural disaster insurance actuary, quality control schemes, etc. A useful way to make an assessment of extreme events is to estimate the probabilities of exceeding large threshold …
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Extremal Properties Of Markov Chains And The Conditional Extreme Value Model
Multivariate extreme value theory has proven useful for modeling multivariate data in fields such as finance and environmental science, where one is interested in accounting for the tendency of observations to exceed an extremely high (or low) threshold. Recent work has developed extremal models by …
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Essays in asset pricing and market imperfections
… thesis analyzes the effect of illiquidity on the extreme risk of hedge funds. Hedge funds' returns often exhibit positive autocorrelations, which suggests illiquidity in their asset holdings. In this part, using a data set containing monthly returns of over 5,600 hedge funds, I study how …
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Prediction of peak energy demand and timestamping in commercial supermarkets using deep learning
… to the common label of using block maxima from extreme value theory. Specifically, the two-hour hit rate improves from 21% using the block maxima approach to 52.6% with the proposed EPTP framework, and from 65.3% to 86% for the 1-hour resolution and the 15-minute resolution, respectively. In …
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