generalized-pareto-distribution
There are 0 repository under generalized-pareto-distribution topic.
- VaR-threshold-and-confidence-interval
guilhermessc / VaR-threshold-and-confidence-interval
This project studies the effects of the shape parameter estimator uncertainty at different threshold levels on the value-at-risk confidence interval for quantitative risk management (QRM) using the Generalized Pareto Distribution (GPD) from the Extreme Value Theory (EVT) approach.
Language:Jupyter Notebook 6 paulnorthrop / revdbayes
Ratio-of-Uniforms Sampling for Bayesian Extreme Value Analysis
Language:R 5SURYA-LAMICHANEY / ExtremeLy
A python package for Extreme Value Analysis.
Language:Jupyter Notebook 4opasche / ExtremalCausalModelling
Repository for the paper: "Causal Modelling of Heavy-Tailed Variables and Confounders with Application to River Flow".
Language:Jupyter Notebook 1PascalBruhn / FindTheTail
Find The Tail - Matlab
lbelzile / supercentenarian
Code accompanying the paper "Human mortality at extreme age"
Language:R 0OGCJN / Tail-estimation-for-window-censored-processes
This paper develops methods to estimate the tail and full distribution of the lengths of the 0-intervals in a continuous time stationary ergodic stochastic process which takes the values 0 and 1 in alternating intervals. The methods are applied to the 100-car study, a big naturalistic driving experiment.
Language:Mathematica