Find file History
Fetching latest commit…
Cannot retrieve the latest commit at this time.
Permalink
..
Failed to load latest commit information.
05_GEV_BMM_SP500.R
05_GPD_DJstock_data.R
05_GPD_Danish_data.R
05_Limiting_theorems_explained.R
05_Mean_excess_plots.R
05_SP_block_maxima.R
05_SP_rlevels_rperiods_CIs.R
README

README

### R Scripts for Chapter 5

05_GEV_BMM_SP500.R
   Block maxima method applied to daily S&P 500 data from 1960 to 1987 crash
05_GPD_Danish_data
   GPD analysis of excess losses over thresholds for Danish data
05_GPD_DJstock_data
   GPD analysis of excess losses over thresholds for weekly losses of a DJ stock
05_Limiting_theorems_explained
   Visually explains the SLLN, CLT, Gnedenko's Theorem and the
   Pickands-Balkema-de Haan Theorem
05_SP_block_maxima.R
   Block maxima analysis of SP daily returns from 1960 to 1987 crash
05_SP_rlevels_rperiods_CIs.R
   Confidence intervals for 05_SP_block_maxima.R