EVA Flashcards
E A Sports its in the game
1
Q
Three good things about EVA
A
- Good framework
- Good for limited data
- Can extrapolate to higher values
2
Q
Four times to use
A
- Stochastic - random probability distribution
- Physical models dont work
- When estimating extreme values
- Need 20-30 years data
3
Q
Two methods for EVA
A
- Block Maxima
2. Threshold Exceedance
4
Q
What is Block Maxima
A
Breaking into blocks and using the max in each block - annually
5
Q
Three parameters and which affects heavness
A
Location, scale, shape
6
Q
What is Threshold Exceedance and a benefit
A
Uses a fixed limit
gets more data but might get data from the related events
7
Q
Two ways to set threshold values?
A
- Mean Residual Life
2. Parameter Stability Plots
8
Q
How does de-clustering work for each method
A
- Block Maxima - Generally long enough on its own
2. Threshold exceedance - rundown period
