Statistics of Extremes: Theory and Applications

Description

Statistics of Extremes; Contents; Preface; 1 WHY EXTREME VALUE THEORY?; 2 THE PROBABILISTIC SIDE OF EXTREME VALUE THEORY; 3 AWAY FROM THE MAXIMUM; 4 TAIL ESTIMATION UNDER PARETO-TYPE MODELS; 5 TAIL ESTIMATION FOR ALL DOMAINS OF ATTRACTION; 6 CASE STUDIES; 7 REGRESSION ANALYSIS; 8 MULTIVARIATE EXTREME VALUE THEORY; 9 STATISTICS OF MULTIVARIATE EXTREMES; 10 EXTREMES OF STATIONARY TIME SERIES; 11 BAYESIAN METHODOLOGY IN EXTREME VALUE STATISTICS; Bibliography; Author Index; Subject Index.;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 co. Statistics of Extremes Contents Preface 1 WHY EXTREME VALUE THEORY? 2 THE PROBABILISTIC SIDE OF EXTREME VALUE THEORY 3 AWAY FROM THE MAXIMUM 4 TAIL ESTIMATION UNDER PARETO-TYPE MODELS 5 TAIL ESTIMATION FOR ALL DOMAINS OF ATTRACTION 6 CASE STUDIES 7 REGRESSION ANALYSIS 8 MULTIVARIATE EXTREME VALUE THEORY 9 STATISTICS OF MULTIVARIATE EXTREMES 10 EXTREMES OF STATIONARY TIME SERIES 11 BAYESIAN METHODOLOGY IN EXTREME VALUE STATISTICS Bibliography Author Index Subject Index.