Extremes under dependence: historical development
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In this chapter we look back at the theoretical developments of extreme value theory (EVT), beyond well-known results for the independent identically distributed (iid) case. We share with you the secrets of results that are so useful today in applications of EVT in finance. In particular we focus on the crucial relation of EVT with another fundamental field in statistics: central limit theory (CLT). |
Ross LeadbetterUniversity of North Carolina |
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