ENGLISH

Multivariate Extreme Value Theory and D-Norms

By Michael Falk

Book information

Publisher
Springer International Publishing
Year
2019
ISBN
978-3-030-03818-2, 978-3-030-03819-9
Language
english
Format
PDF
Filesize
3 MB (3204506 bytes)
Series
Springer Series in Operations Research and Financial Engineering
Edition
1st ed.
Pages
X, 241\250
Time added
2019-04-19 19:00:00
Mathematics; Probability Theory and Stochastic Pro

Description

This monograph compiles the contemporary knowledge about D-norms and provides an introductory tour through the essentials of multivariate extreme value theory. Following a clear introduction of D-norms, this book introduces links with the theory through multivariate generalized Pareto distributions and max stable distributions. Further views on D-norms from a functional analysis perspective and from stochastic geometry underline the aim of this book to reveal mathematical structures. This book is intended for mathematicians with a basic knowledge of analysis and probability theory, including Fubini's theorem. Front Matter ....Pages I-X D-Norms (Michael Falk)....Pages 1-97 D-Norms & Multivariate Extremes (Michael Falk)....Pages 99-134 Copulas & Multivariate Extremes (Michael Falk)....Pages 135-160 An Introduction to Functional Extreme Value Theory (Michael Falk)....Pages 161-186 Further Applications of D-Norms to Probability & Statistics (Michael Falk)....Pages 187-230 Back Matter ....Pages 231-241

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