Extreme Value Analysis

Abstract

Extreme value theory is dedicated to characterise the behaviour of the extreme observations. The interest is then focused in the tails of the underlying distribution. It is important to test for the adequate shape of the tail, because it influences the estimation of parameters of extreme or even rare events. The aim of this work is to present a brief overview on several tests and parameter estimation procedures available in the literature. They will be applied to daily mean flow discharge rate values in the hydrometric station of Fragas da Torre in the river Paiva, collected from 1946/47 to 2005/06.

Keywords

• extreme value theory
• parametric and semi-parametric estimation
• statistical choice of the tail
• statistical tests