Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/61776 
Year of Publication: 
1999
Series/Report no.: 
SFB 373 Discussion Paper No. 1999,94
Publisher: 
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, Berlin
Abstract: 
The necessity to quantify the risk caused by the high volatility of asset prices, large insurance claims or floods has lead to an increasing interest in extreme value analysis. Generalized Pareto and extreme value distributions are well suited to model data which are exceedances above a threshold or maxima. We describe two statistical software systems - XploRe and Xtremes - that support a user in performing an extreme value analysis. Within both systems, various estimators for the above distributions are provided. We give an overview of their application and mention visual tools to check the adequacy of a parametric modeling by means of non-parametric procedures. Both systems utilize a client/server architecture to provide access to their resources across a network. While the server version of XploRe supports an interactive Java client which can be used from a web browser, the Xtremes system implements a CORBA interface that exports statistical objects to a client program.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
399.39 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.