David Roodman wrote to me today, saying:"I don’t know if you use Stata, but I’ve just released a Stata package for extreme value theory. It is strongly influenced by Coles’s book on EVT and the associated ismev package for R. Using maximum likeli...
David Roodman wrote to me today, saying:"I don’t know if you use Stata, but I’ve just released a Stata package for extreme value theory. It is strongly influenced by Coles’s book on EVT and the associated ismev package for R. Using maximum likeli...
Qinlu (Louisa) Chen and I have recently completed a paper titled, "Risk Analysis for Three Precious Metals: An Application of Extreme Value Theory". It's based in part on work that Louisa undertook in her B.Sc. Honours program here at UVic.Here's the a...
Over a welcomed curry yesterday night in Edinburgh I read this 2008 paper by Koopman, Shephard and Creal, testing the assumptions behind importance sampling, which purpose is to check on-line for (in)finite variance in an importance sampler, based on the empirical distribution of the importance weights. To this goal, the authors use the upper tail […]
The generalized Pareto distribution (GPD) arises in the modelling of "extremes", especially if the "peaks-over-threshold" approach is being used. Estimating the parameters of the GPD by the method of maximum likelihood is especially challenging. The ch...
