Statistics of Extremes Theory & Applications Wiley Series in Probability & Stats

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Item specifics

Condition
Very Good: A book that has been read but is in excellent condition. No obvious damage to the cover, ...
EAN
9780471976479
Produktart
Bücher
ISBN
0471976474
Erscheinungsjahr
2004
Autor
Beirlant, Jan et. al
Verlag
West Sussex, Wiley & Sons
Publikationsname
Statistics of Extremes: Theory and Applications (Wiley Series in
Sprache
Englisch
Category

About this product

Product Identifiers

Publisher
Wiley & Sons, Incorporated, John
ISBN-10
0471976474
ISBN-13
9780471976479
eBay Product ID (ePID)
30761144

Product Key Features

Number of Pages
512 Pages
Language
English
Publication Name
Statistics of Extremes : Theory and Applications
Subject
Probability & Statistics / General, Mathematical Analysis
Publication Year
2004
Type
Textbook
Subject Area
Mathematics
Author
Johan Segers, Jozef L. Teugels, Jan Beirlant, Yuri Goegebeur
Series
Wiley Series in Probability and Statistics Ser.
Format
Hardcover

Dimensions

Item Height
1.4 in
Item Weight
34.1 Oz
Item Length
9.4 in
Item Width
6.3 in

Additional Product Features

Intended Audience
Scholarly & Professional
LCCN
2004-051046
Dewey Edition
22
Reviews
"This excellent book provides an overall survey of the most important achievements in the field of extreme value theory." ( Mathematical Reviews , 2005j) "...a useful reference for researchers wishing to learn more about the analysis of extreme data, including as it does a wealth of information about the topic..." ( Technometrics , August 2005) "The book is well written and the authors make good use of graphical procedures to illustrate and illuminate their exposition." ( International Statistical Institute , Vol 25 (2), August 2005) "...a very useful and readable text..." (Journal of the Royal Statistical Society, Vol 169 (1), January 2006) "...its strengths lie in the combination of the theory and applications." ( Meteorologishe Zeitschrift, April 2007)  , "This excellent book provides an overall survey of the most important achievements in the field of extreme value theory." ( Mathematical Reviews , 2005j) "...a useful reference for researchers wishing to learn more about the analysis of extreme data, including as it does a wealth of information about the topic..." ( Technometrics , August 2005) "The book is well written and the authors make good use of graphical procedures to illustrate and illuminate their exposition." ( International Statistical Institute , Vol 25 (2), August 2005) "...a very useful and readable text..." (Journal of the Royal Statistical Society, Vol 169 (1), January 2006) "...its strengths lie in the combination of the theory and applications." (Meteorologishe Zeitschrift, April 2007)
Series Volume Number
558
Illustrated
Yes
Dewey Decimal
519.5
Table Of Content
Preface. 1 WHY EXTREME VALUE THEORY? 1.1 A Simple Extreme Value Problem. 1.2 Graphical Tools for Data Analysis. 1.3 Domains of Applications. 1.4 Conclusion. 2 THE PROBABILISTIC SIDE OF EXTREME VALUE THEORY. 2.1 The Possible Limits. 2.2 An Example. 2.3 The Fr'echet-Pareto Case: ³ > 0. 2.4 The (Extremal) Weibull Case: ³ 0. 2.5 The Gumbel Case: ³ = 0. 2.6 Alternative Conditions for (C³ ). 2.7 Further on the Historical Approach. 2.8 Summary. 2.9 Background Information. 3 AWAY FROM THE MAXIMUM. 3.1 Introduction. 3.2 Order Statistics Close to the Maximum. 3.3 Second-order Theory. 3.4 Mathematical Derivations. 4 TAIL ESTIMATION UNDER PARETO-TYPE MODELS. 4.1 A Naive Approach. 4.2 The Hill Estimator. 4.3 Other Regression Estimators. 4.4 A Representation for Log-spacings and Asymptotic Results. 4.5 Reducing the Bias. 4.6 Extreme Quantiles and Small Exceedance Probabilities. 4.7 Adaptive Selection of the Tail Sample Fraction. 5 TAIL ESTIMATION FOR ALL DOMAINS OF ATTRACTION. 5.1 The Method of Block Maxima. 5.2 Quantile View--Methods Based on (C³). 5.3 Tail Probability View--Peaks-Over-Threshold Method. 5.4 Estimators Based on an Exponential Regression Model. 5.5 Extreme Tail Probability, Large Quantile and Endpoint Estimation Using Threshold Methods. 5.6 Asymptotic Results Under (C³ )-(C*³ ). 5.7 Reducing the Bias. 5.8 Adaptive Selection of the Tail Sample Fraction. 5.9 Appendices. 6 CASE STUDIES. 6.1 The Condroz Data. 6.2 The Secura Belgian Re Data. 6.3 Earthquake Data. 7 REGRESSION ANALYSIS. 7.1 Introduction. 7.2 The Method of Block Maxima. 7.3 The Quantile View--Methods Based on Exponential Regression Models. 7.4 The Tail Probability View--Peaks Over Threshold (POT) Method. 7.5 Non-parametric Estimation. 7.6 Case Study. 8 MULTIVARIATE EXTREME VALUE THEORY. 8.1 Introduction. 8.2 Multivariate Extreme Value Distributions. 8.3 The Domain of Attraction. 8.4 Additional Topics. 8.5 Summary. 8.6 Appendix. 9 STATISTICS OF MULTIVARIATE EXTREMES. 9.1 Introduction. 9.2 Parametric Models. 9.3 Component-wise Maxima. 9.4 Excesses over a Threshold. 9.5 Asymptotic Independence. 9.6 Additional Topics. 9.7 Summary. 10 EXTREMES OF STATIONARY TIME SERIES. 10.1 Introduction. 10.2 The Sample Maximum. 10.3 Point-Process Models. 10.4 Markov-Chain Models. 10.5 Multivariate Stationary Processes. 10.6 Additional Topics. 11 BAYESIAN METHODOLOGY IN EXTREME VALUE STATISTICS. 11.1 Introduction. 11.2 The Bayes Approach. 11.3 Prior Elicitation. 11.4 Bayesian Computation. 11.5 Univariate Inference. 11.6 An Environmental Application. Bibliography. Author Index. Subject Index.
Synopsis
Research in the statistical analysis of extreme values has flourished over the past decades: new probability models, inference and data analysis techniques have been introduced, while new application areas have been explored. Statistics of Extremes: Theory and Applications covers a wide range of models and applications, in particular in financial and actuarial risk management, a major area of interest and relevance to extreme value theory. Case studies are introduced in the first part of the book and are used throughout to show the application of each model discussed. The second part of the book covers advanced topics, such as multivariate and Bayesian modelling of extremes. Provides comprehensive coverage of a growing area of research. Provides a good balance of theory and real-world applications. Includes coverage of time series, regression, multivariate and Bayesian modelling. Introduces a number of case studies early in the book and develops the theory around them. Illustrated with many data examples and plots. Statistics of Extremes: Theory and Applications will appeal to researchers and graduate students of applied probability and statistics, particularly those studying extreme values. It is also suitable for applied statisticians working in finance and insurance, pollution and climatology, geology, metallurgy, and engineering., Research in the statistical analysis of extreme values has flourished over the past decade: new probability models, inference and data analysis techniques have been introduced; and new application areas have been explored., Research in the statistical analysis of extreme values has flourished over the past decade: new probability models, inference and data analysis techniques have been introduced; and new application areas have been explored. Statistics of Extremes comprehensively covers a wide range of models and application areas, including risk and insurance: a major area of interest and relevance to extreme value theory. Case studies are introduced providing a good balance of theory and application of each model discussed, incorporating many illustrated examples and plots of data. The last part of the book covers some interesting advanced topics, including time series, regression, multivariate and Bayesian modelling of extremes, the use of which has huge potential.
LC Classification Number
QA276.S783447 2004

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