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Extremes
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Introduction
Theory
Extreme value theory
Introduction
Generalized Extreme Value
Asymptotic distributions of the maximum
Conditional distribution of the excesses
Extreme quantities : level of return
Hill estimator
Multifractal phase transition
To go further
Exercises
Conclusion
Content:
Extreme value theory
Introduction
Generalized Extreme Value
Asymptotic distributions of the maximum
Conditional distribution of the excesses
Extreme quantities : level of return
Hill estimator
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