Extreme-value modeling
A framework for reasoning about tail events beyond the center of a distribution.
Interactive model
This experiment's interactive controls are in a later implementation phase. Its mathematical assumptions are documented here so no unsupported output is shown.
Model & assumptions
Peak-over-threshold methods rely on suitable thresholds and asymptotic approximations. Results require diagnostics and uncertainty analysis.
All displayed data are synthetic. They are never presented as observed market measurements.