Publication
Sep 2010
In this paper, the authors briefly present some of the key results of extreme value theory, which provide a statistical justification for the emergence of power laws as limiting behavior for extreme fluctuations. The remarkable generality of the theory allows to abstract from the details of the system under investigation, and therefore allows its application in many diverse fields. Moreover, this theory offers new powerful techniques for the estimation of the Pareto index, detailed in the second part of this chapter.
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English (PDF, 12 pages, 977 KB) |
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Author | Simone Alfarano, Thomas Lux |
Series | Kiel Institute Working Papers |
Issue | 1648 |
Publisher | Kiel Institute for the World Economy |
Copyright | © 2010 Kiel Institute for the World Economy |