Ebook: Statistical Analysis of Extreme Values: with Applications to Insurance, Finance, Hydrology and Other Fields
- Tags: Probability Theory and Stochastic Processes, Statistical Theory and Methods, Statistics and Computing/Statistics Programs, Statistics for Business/Economics/Mathematical Finance/Insurance
- Year: 2007
- Publisher: Birkhäuser Basel
- Edition: 3
- Language: English
- pdf
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 has been thoroughly updated and rearranged to meet the new requirements. Additional sections and chapters, elaborated on more than 100 pages, are particularly concerned with topics like dependencies, the conditional analysis and the multivariate modeling of extreme data. 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). Other new topics, e.g., a chapter about "Environmental Sciences", (co--authored by R.W. Katz), are collected within Parts IV–VI.
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 has been thoroughly updated and rearranged to meet the new requirements. Additional sections and chapters, elaborated on more than 100 pages, are particularly concerned with topics like dependencies, the conditional analysis and the multivariate modeling of extreme data. 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). Other new topics, e.g., a chapter about "Environmental Sciences", (co--authored by R.W. Katz), are collected within Parts IV–VI.
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 has been thoroughly updated and rearranged to meet the new requirements. Additional sections and chapters, elaborated on more than 100 pages, are particularly concerned with topics like dependencies, the conditional analysis and the multivariate modeling of extreme data. 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). Other new topics, e.g., a chapter about "Environmental Sciences", (co--authored by R.W. Katz), are collected within Parts IV–VI.
Content:
Front Matter....Pages i-xviii
Front Matter....Pages 1-1
Parametric Modeling....Pages 3-38
Diagnostic Tools....Pages 39-80
Front Matter....Pages 81-81
An Introduction to Parametric Inference....Pages 83-106
Extreme Value Models....Pages 107-126
Generalized Pareto Models....Pages 127-158
Advanced Statistical Analysis....Pages 159-206
Statistics of Dependent Variables....Pages 207-226
Conditional Extremal Analysis....Pages 227-246
Statistical Models for Exceedance Processes....Pages 247-262
Front Matter....Pages 263-263
Basic Multivariate Concepts and Visualization....Pages 265-278
Elliptical and Related Distributions....Pages 279-290
Multivariate Maxima....Pages 291-312
Multivariate Peaks Over Threshold....Pages 313-334
Front Matter....Pages 335-335
Flood Frequency Analysis....Pages 337-351
Environmental Sciences....Pages 353-367
Front Matter....Pages 369-369
Extreme Returns in Asset Prices....Pages 371-410
The Impact of Large Claims on Actuarial Decisions....Pages 411-437
Front Matter....Pages 439-439
Material Sciences....Pages 441-451
Life Science....Pages 453-463
Back Matter....Pages 465-511
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 has been thoroughly updated and rearranged to meet the new requirements. Additional sections and chapters, elaborated on more than 100 pages, are particularly concerned with topics like dependencies, the conditional analysis and the multivariate modeling of extreme data. 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). Other new topics, e.g., a chapter about "Environmental Sciences", (co--authored by R.W. Katz), are collected within Parts IV–VI.
Content:
Front Matter....Pages i-xviii
Front Matter....Pages 1-1
Parametric Modeling....Pages 3-38
Diagnostic Tools....Pages 39-80
Front Matter....Pages 81-81
An Introduction to Parametric Inference....Pages 83-106
Extreme Value Models....Pages 107-126
Generalized Pareto Models....Pages 127-158
Advanced Statistical Analysis....Pages 159-206
Statistics of Dependent Variables....Pages 207-226
Conditional Extremal Analysis....Pages 227-246
Statistical Models for Exceedance Processes....Pages 247-262
Front Matter....Pages 263-263
Basic Multivariate Concepts and Visualization....Pages 265-278
Elliptical and Related Distributions....Pages 279-290
Multivariate Maxima....Pages 291-312
Multivariate Peaks Over Threshold....Pages 313-334
Front Matter....Pages 335-335
Flood Frequency Analysis....Pages 337-351
Environmental Sciences....Pages 353-367
Front Matter....Pages 369-369
Extreme Returns in Asset Prices....Pages 371-410
The Impact of Large Claims on Actuarial Decisions....Pages 411-437
Front Matter....Pages 439-439
Material Sciences....Pages 441-451
Life Science....Pages 453-463
Back Matter....Pages 465-511
....