The Method Study Of Extreme Value Distribution Parameter Estimation

Extreme Value Theory is an important branch of the Probability and Statistics.It mainly studies the nature and statistical inference of the extreme value in random sample and random process.Traditionally it has been used to predict tsunamis, earthquakes,floods,and other natural disasters.In the last 50 years,Extreme Value Theory has developed into a very important statistical method,and has a wide range of applications in many areas.The paper is to study this problem.This paper summarized the distribution of Extreme Value Theory and extreme value distribution parameters estimation,studied maximum likelihood estimation method of the Gumbel distribution which is commonly used,gave a numerical method of the maximum likelihood estimation,and gave an example of calculation.In addition, according to the distribution of Extreme Value Theory and extreme value distribution parameter estimation methods,We established a portfolio distribution model by the left tail distribution,distribution of the original,the right tail distribution.,and gave a variety of estimation methods of the parameter estimation of the portfolio distribution model,finally calculated an example.