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Fisher-Tippett theorem with an historical perspective
A couple of weeks ago, Rafael asked me if I had something on the history of extreme value theory. Since I will get back to fundamental results about extremes in my course, I promised I will write down...
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MAT8886 Extremes and sums (of i.i.d. random variables)
Yesterday, we have discussed briefly sums and maximas of i.i.d. random variables using the concept of subexponential distributions. Today, we will introduce the concept of regular variation: a positive...
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Bias of Hill Estimators
In the MAT8595 course, we’ve seen yesterday Hill estimator of the tail index. To be more specific, we did see see that if , with , then Hill estimators for are given by for . Then we did say that...
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