Department of Data and Analytics
NYC Health & Hospitals, USA
Queens, New York
Comparison Study of Threshold Modeling Implementation in Python & R
Extreme Value Analysis (EVA) focuses on rare events in large datasets. The Generalized Extreme Value Distribution (GEV) and the Generalized Pareto Distribution (GPD) are two common probability distributions used in (EVA). Threshold Modeling is an important aspect of this analysis. Although R is commonly used for Threshold Modeling, this paper shows that a Python-exclusive library can perform all the necessary functions for this type of analysis.