Extreme Value Theory

An Introduction

Laurens De Haan, Ana Ferreira - Collection Springer Series in Operations Research and Financial Engineering

436 pages, parution le 31/07/2006

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Résumé

This treatment of extreme value theory is unique in book literature in that it focuses on some beautiful theoretical results along with applications. All the main topics covering the heart of the subject are introduced to the reader in a systematic fashion so that in the final chapter even the most recent developments in the theory can be understood.

Key to the presentation is the concentration on the probabilistic and statistical aspects of extreme values without major emphasis on such related topics as regular variation, point processes, empirical distribution functions, and Brownian motion.

The work is an excellent introduction to extreme value theory at the graduate level, requiring only some mathematical maturity.

Written for:
Graduate students, theoretical and applied mathematicians, math physicists, engineers, economists and finance professionals, corporate risk analysts

Sommaire

One-Dimensional Observations
- Limit Distributions and Domains of Attraction
- Extreme and Intermediate Order Statistics
- Estimation of the Extreme Value Index and Testing
- Extreme Quantile and Tail Estimation
- More Advanced Topics
Finite-Dimensional Observations
- Basic Theory
- Estimating the Dependence Structure
- Estimation of the Probability of a Failure Set
Observations that are Stochastic Processes
- Basic Theory in C [0,1]
- Estimation in C [0,1]
Appendix A: Regular Variation (proofs)

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Laurens De Haan, Ana Ferreira
Collection	Springer Series in Operations Research and Financial Engineering
Parution	31/07/2006
Nb. de pages	436
Format	16 x 24
Couverture	Relié
Poids	730g
Intérieur	Noir et Blanc
EAN13	9780387239460
ISBN13	978-0-387-23946-0