ASYMPTOTIC PROBABILITY DISTRIBUTION OF SAMPLE MAXIMUM

Jana Kahounová

Acta Oeconomica Pragensia, 2008, vol. 2008, issue 3, pages 40-46

Abstract: Extreme value theory is the most scientific approach to an inherently difficult problem - predicting the possibility that an extreme event will occur. Broadly speaking, there are two kinds of models for extreme values. The first group of models are models for a distribution of normalized maximum (minimum) of the sequence of independent identically distributed random variables. The second, more modern, group of models are the peaks-over-threshold (POT) models. These are models for all large observations which exceed a threshold. This paper is concentrated on the first type of model. Here, the maximum loss of a bank caused by different technological accidents and natural disasters is treated.

Keywords: extreme value theory; Gumbel distribution; method of point estimation (search for similar items in EconPapers)
JEL-codes: C24 (search for similar items in EconPapers)
Date: 2008

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