Regression model
极值理论 (EVT)
极值理论 (EVT) 是一个统计框架，用于对概率分布尾部出现的罕见事件进行建模。如 Coles (2001) 所述，并由 McNeil, Frey & Embrechts (2005) 应用于风险领域，它提供了两种标准方法：广义极值 (GEV) 分布用于块最大值，以及广义帕累托分布 (GPD)，用于阈值之上超额值的峰值超过阈值 (POT) 方法。
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来源
- Coles, S. (2001). An Introduction to Statistical Modeling of Extreme Values. Springer. ISBN: 978-1852334598
- McNeil, A. J., Frey, R., & Embrechts, P. (2005). Quantitative Risk Management: Concepts, Techniques and Tools. Princeton University Press. ISBN: 978-0691122557
如何引用本页
ScholarGate. (2026, June 1). Extreme Value Theory (GEV, GPD, Peaks-Over-Threshold). ScholarGate. https://scholargate.app/zh/finance/extreme-value-theory
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
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- VaR（风险价值）金融学↔ compare