Browsing School of Pure and Applied Sciences by Author "Mbugua, L. N."
Now showing items 1-2 of 2
-
An Application Of Extreme Value Theory In Modelling Electricity Production In Kenya
Apudo, B. O.; Mwita, Peter N.; Mbugua, L. N.; Machuke, G.W.; Kiche, J. (IISTE, 2014)Extreme Value Theory provides a well-established statistical model for the computation of extreme risk measure which includes, Value at Risk and Expected Shortfall. In this paper we apply Univariate Extreme Value Theory ... -
Statistical techniques for modeling extreme price dynamics in the energy market
Mbugua, L. N.; Mwita, Peter N. (IOP Publishing, 2013)Extreme events have large impact throughout the span of engineering, science and economics. This is because extreme events often lead to failure and losses due to the nature unobservable of extra ordinary occurrences. ...