An Introduction to Statistical Modeling of Extreme Values

Statistics

Stuart Coles

208 pages, parution le 24/10/2002

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Résumé

Directly oriented towards real practical application, this book develops both the basic theoretical framework of extreme value models and the statistical inferential techniques for using these models in practice.
Intended for statisticians and non-statisticians alike, the theoretical treatment is elementary, with heuristics often replacing detailed mathematical proof. Most aspects of extreme modeling techniques are covered, including historical techniques (still widely used) and contemporary techniques based on point process models. A wide range of worked examples, using genuine datasets, illustrate the various modeling procedures and a concluding chapter provides a brief introduction to a number of more advanced topics, including Bayesian inference and spatial extremes.
All the computations are carried out using S-PLUS, and the corresponding datasets and functions are available via the Internet for readers to recreate examples for themselves. An essential reference for students and researchers in statistics and disciplines such as engineering, finance and environmental science, this book will also appeal to practitioners looking for practical help in solving real problems.
Stuart Coles is Reader in Statistics at the University of Bristol, UK, having previously lectured at the universities of Nottingham and Lancaster. In 1992 he was the first recipient of the Royal Statistical Society's research prize. He has published widely in the statistical literature, principally in the area of extreme value modeling.

Contents

1. Introduction
2. Basics of Statistical Modeling
3. Classical Extreme Value Theory and Models
4. Threshold Models
5. Extremes of Dependent Sequences
6. Extremes of Non-Stationary Sequences
7. A Point Process Characterization of Extremes
8. Multivariate Extremes
9. Further Topics
Appendix A: Computational Aspects
Index.

L'auteur - Stuart Coles

Coles, Stuart, University of Bristol, UK

Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Stuart Coles
Parution	24/10/2002
Nb. de pages	208
Format	16 x 24
Couverture	Relié
Poids	475g
Intérieur	Noir et Blanc
EAN13	9781852334598
ISBN13	978-1-85233-459-8