Introduction to Extreme Value Theory
A conceptual introduction to why extremes require separate asymptotic modelling, with block maxima and threshold exceedance viewpoints.
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Academic Notes · Tail Risk
Extreme Value Theory
Notes on rare-event modelling, block maxima, threshold exceedances, generalized extreme value limits, generalized Pareto models, tail index estimation, and extreme quantile inference.
Extreme Value Theory
Notes and drafts.
This section collects notes on statistical modelling of rare and extreme events. The focus is on the mathematical structure of tail limits and their use in risk, reliability, environmental extremes, and machine-learning-adjacent tail estimation.
Block Maxima and GEV Limits
A note on maxima of iid sequences, normalization, domains of attraction, and the generalized extreme value family.
Coming soonGeneralized Pareto Distribution
A note on threshold exceedances, the Pickands-Balkema-de Haan theorem, and tail modelling with the generalized Pareto distribution.
Coming soonExtreme Quantile Estimation
A note on estimating quantiles beyond the range of ordinary data and why extrapolation requires tail assumptions.
Coming soon