Statistics of Extremes

Theory and Applications

Jan Beirlant, Yuri Goegebeur, Johan Segers, Jozef Teugels

490 pages, parution le 16/11/2004

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Résumé

Research in the statistical analysis of extreme values has flourished over the past decades: new probability models, inference and data analysis techniques have been introduced, while new application areas have been explored. Statistics of Extremes: Theory and Applications covers a wide range of models and applications, in particular in financial and actuarial risk management, a major area of interest and relevance to extreme value theory. Case studies are introduced in the first part of the book and are used throughout to show the application of each model discussed. The second part of the book covers advanced topics, such as multivariate and Bayesian modelling of extremes.

Provides comprehensive coverage of a growing area of research
Provides a good balance of theory and real-world applications
Includes coverage of time series, regression, multivariate and Bayesian modelling
Introduces a number of case studies early in the book and develops the theory around them
Illustrated with many data examples and plots

Statistics of Extremes: Theory and Applications will appeal to researchers and graduate students of applied probability and statistics, particularly those studying extreme values. It is also suitable for applied statisticians working in finance and insurance, pollution and climatology, geology, metallurgy, and engineering.

L'auteur - Jan Beirlant

Jan Beirlant : Department of Statistics, Katholieke Universiteit Leuven, Belgium

L'auteur - Yuri Goegebeur

Yuri Goegebeur : Department of Statistics, Katholieke Universiteit Leuven, Belgium

L'auteur - Johan Segers

Johan Segers : Department of Econometrics and OR, Tilburg University, The Netherlands

L'auteur - Jozef Teugels

Jozef Teugels : Department of Statistics, Katholieke Universiteit Leuven, Belgium

Sommaire

Preface
Why extreme value theory?
The probabilistic side of extreme value theory
Away from the maximum
Tail estimation under pareto-type models
Tail estimation for all domains of attraction
Regression analysis
Multivariate extreme value theory
Statistics of multivariate extremes
Extremes of stationary time series
Bayesian methodology in extreme value statistics
Bibliography
Author Index
Subject Index

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	PAPIER
Éditeur(s)	Wiley
Auteur(s)	Jan Beirlant, Yuri Goegebeur, Johan Segers, Jozef Teugels
Parution	16/11/2004
Nb. de pages	490
Format	15,5 x 23,5
Couverture	Relié
Poids	929g
Intérieur	Noir et Blanc
EAN13	9780471976479
ISBN13	978-0-471-97647-9