Which of the following are valid approaches for extreme value analysis given a dataset:

Which of the following are valid approaches for extreme value analysis given a dataset:

I. The Block Maxima approach

II. Least squares approach

III. Maximum likelihood approach

IV. Peak-over-thresholds approach
A . II and III
B . I, III and IV
C . I and IV
D . All of the above

View Answer

Answer: C

Explanation:

For EVT, we use the block maxima or the peaks-over-threshold methods.

These provide us the data points that can be fitted to a GEVdistribution.

Least squares and maximum likelihood are methods that are used for curve fitting, and they have a variety of applications across risk management.