5 years ago

On relations between extreme value statistics, extreme random matrices and Peak-Over-Threshold method.

Maciej A. Nowak, Jacek Grela

Using the thinning method, we explain the link between classical Fisher-Tippett-Gnedenko classification of extreme events and their free analogue obtained by Ben Arous and Voiculescu in the context of free probability calculus. In particular, we present explicit examples of large random matrix ensembles, realizing free Weibull, free Fr\'{e}chet and free Gumbel limiting laws, respectively. We also explain, why these free laws are identical to Balkema-de Haan-Pickands limiting distribution for exceedances, i.e. why they have the form of the generalized Pareto distributions.

Publisher URL: http://arxiv.org/abs/1711.03459

DOI: arXiv:1711.03459v1

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