extremvärdestheori
Extremvärdestheori, also known as extreme value theory (EVT), is a branch of statistics that deals with extreme deviations from the median of a probability distribution. It provides a statistical framework for analyzing and modeling rare events, such as record-breaking floods, stock market crashes, or extreme weather conditions.
The core idea of EVT is to understand the behavior of the tail of a probability distribution.
Key concepts in EVT include the identification of the limiting distributions for extreme values. Two main approaches
Applications of extremvärdestheori are widespread. In finance, it's used for risk management and to model the