A study about estimation of parameters for extreme value distribution

Authors

  • Alexandrina Maria Proca Transilvania University of Brasov, Romania

Keywords:

Extreme value theory, statistic of extreme value, extreme index, method of moments

Abstract

In this paper, starting from the classical method of moments, we realize an estimation of the three parameters for extreme value distribution. These results are applied to data sets related to exchange rate returns.

Author Biography

Alexandrina Maria Proca, Transilvania University of Brasov, Romania

Faculty of Mathematics and Informatics

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Published

2011-07-26

Issue

Vol. 4(53) No. 1 (2011)

Section

MATHEMATICS