Extreme Value Methods with Applications to Finance
ebook ∣ Chapman & Hall/CRC Monographs on Statistics and Applied Probability
By Serguei Y. Novak
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Extreme value theory (EVT) deals with extreme (rare) events, which are sometimes reported as outliers. Certain textbooks encourage readers to remove outliers-in other words, to correct reality if it does not fit the model. Recognizing that any model is only an approximation of reality, statisticians are eager to extract information about unknown di
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