Statistical analysis of extreme values : with applications to insurance, finance, hydrology and other field / R.-D. Reiss, M. Thomas

Date :

Editeur / Publisher : Basel : Birkhau͏̈ser , cop. 2007

Type : Livre / Book

Langue / Language : anglais / English

ISBN : 978-3-7643-7230-9

EAN : 9783764372309

Statistique mathématique

Valeurs extrêmes, Théorie des

Analyse multivariée

Classification Dewey : 519.5

Relation : Statistical Analysis of Extreme Values : with Applications to Insurance, Finance, Hydrology and Other Fields / R.-D. Reiss, M. Thomas / Basel : Birkhäuser Basel

Résumé / Abstract : The statistical analysis of extreme data is important for various disciplines, including hydrology, insurance, finance, engineering and environmental sciences. This book provides a self-contained introduction to the parametric modeling, exploratory analysis and statistical interference for extreme values. The entire text of this third edition is thoroughly updated and rearranged to meet the new requirements. Additional sections and chapters, elaborated on more than 100 pages, especially concern topics like dependencies, the conditional analysis and the multivariate modeling of extreme data. The Parts I-III about the basic extreme value methodology remain unchanged to some larger extent, yet notable are, e.g., the new sections about An Overview of Reduced-Bias Estimation (co-authored by M.I. Gomes), The Spectral Decomposition Methodology, and About Tail Independence (co-authored by M. Frick), and the new chapter about Extreme Value Statistics of Dependent Random Variables co-authored by H. Drees)