Acta Oeconomica Pragensia 2008, 16(3):40-46 | DOI: 10.18267/j.aop.103

Asymptotic Probability Distribution of Sample Maximum

Jana Kahounová
Doc Ing. Jana Kahounová, CSc.; Katedra statistiky a pravděpodobnosti, Fakulta informatiky a statistiky, Vysoká škola ekonomická v Praze, kahoun@vse.cz.

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
JEL classification: C24

Published: June 1, 2008  Show citation

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Kahounová, J. (2008). Asymptotic Probability Distribution of Sample Maximum. Acta Oeconomica Pragensia, 16(3), 40-46. doi: 10.18267/j.aop.103
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    References

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