Essays about: "Block Maxima"

Showing result 1 - 5 of 16 essays containing the words Block Maxima.

  1. 1. Extreme value modeling of wind effect on dune erosion on the Coast of ̈Angelholm

    University essay from Lunds universitet/Matematisk statistik

    Author : Lionel Arpin-Pont; [2020]
    Keywords : Erosion; Wind speed; Extreme value theory; Block maxima; Peaks over threshold; Copula; Husler-Reiss; Dependence function.; Mathematics and Statistics;

    Abstract : The movement of the coast line, due to erosion in one direction or aggregation in theother is a natural process as waves, wind as well as the geological nature of the coast itselfare affecting it. Sand dunes are the main protection coasts have at their disposal againstfloods during storm surges or from more passive but long range rainfalls. READ MORE

  2. 2. A comparative study of VaR and ES using extreme value theory

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Klara Andersson; [2020]
    Keywords : extreme value theory; block maxima; peaks-over-threshold; backtesting; value-at-risk; expected shortfall; Business and Economics;

    Abstract : Using data from OMXS30, we study which of the models block maxima and peaks-over-threshold, based on extreme value theory, are the most accurate when estimating the risk measures Value-at-Risk and Expected Shortfall. To perform this analysis, the risk measures are backtested. READ MORE

  3. 3. Multivariate Risk: From Univariate to High-Dimensional Graphical Models

    University essay from Lunds universitet/Statistiska institutionen

    Author : Erik Oldehed; [2020]
    Keywords : Block Maxima; Mean Excess Plot; Tail Risk; Cross-Validation Threshold Selection; Graphical Lasso; Nonparanormal Distribution.; Mathematics and Statistics;

    Abstract : We present a comparison of different univariate and multivariate extreme value risk models. Our focus is on exploring how these can be used to model financial risk. We use simulated as well as real data and compare deterministic and cross-validation threshold selection methods for the GP model to a GEV model. READ MORE

  4. 4. Estimation of Load Profiles for Secondary Substations

    University essay from Lunds universitet/Industriell elektroteknik och automation

    Author : Hans-Christian Nilsson; [2020]
    Keywords : Load Estimation; Synthetic Load; Feed Forward Neural Networks; Extreme Value Theory; Block Maxima; Linear Regression; Load Curves; Electricity Consumption Estimation; Technology and Engineering;

    Abstract : The power system today is facing a transformation from fossil and nuclear energy sources to renewable energy sources such as solar- and wind power. At the same time electric vehicles are becoming more common every year. READ MORE

  5. 5. Simulation-Based Portfolio Optimization with Coherent Distortion Risk Measures

    University essay from KTH/Matematisk statistik

    Author : Andreas Prastorfer; [2020]
    Keywords : Risk Management; Portfolio Optimization; Conditional Value-at-Risk; Coherent Distortion Riks Measures; Elliptical Distribution; GARCH model; Normal Copulas; Extreme Value Theory; Risk Contributions; Riskhantering; Portföljoptimering; Conditional Value-at-Risk; Koherenta distortionsriskmått; Elliptiska fördelningar; GARCH modeller; Normal-copula; Extremvärdes teori; Riskbidrag;

    Abstract : This master's thesis studies portfolio optimization using linear programming algorithms. The contribution of this thesis is an extension of the convex framework for portfolio optimization with Conditional Value-at-Risk, introduced by Rockafeller and Uryasev. READ MORE