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Asymptotic Probability Distribution of Sample Maximum
[Asymptotické pravděpodobnostní rozdělení výběrového maxima]

Author

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  • Jana Kahounová

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.

Suggested Citation

  • Jana Kahounová, 2008. "Asymptotic Probability Distribution of Sample Maximum [Asymptotické pravděpodobnostní rozdělení výběrového maxima]," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2008(3), pages 40-46.
    • Handle: RePEc:prg:jnlaop:v:2008:y:2008:i:3:id:103:p:40-46
    DOI: 10.18267/j.aop.103
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    More about this item

    Keywords

    extreme value theory; Gumbel distribution; method of point estimation;
    All these keywords.

    JEL classification:

    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models

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