Extremes

• An extreme value is an unusually large – or small – magnitude.

• Extreme value analysis (EVA) has as objective to quantify the stochastic behavior of a process at such unusual levels.

• EVA usually requires estimation of the probability of events that are more extreme than any that have already been observed.

• Typical question: What is the maximum value expected over a given time period (1 day – 100 year) and given a specified degree of confidence (typically 95% or 99%) ?