Michael Thomas: Statistical Analysis of Extreme Values, Kartoniert / Broschiert

Kurzbeschreibung

This is a self-contained introduction to parametric modeling, exploratory analysis and statistical interference for extreme values, as used in disciplines from hydrology to finance to environmental science. Updated and expanded by 100 pages.

Beschreibung

Statistical analysis of extreme data is vital to many disciplines including hydrology, insurance, finance, engineering and environmental sciences. This book provides a self-contained introduction to parametric modeling, exploratory analysis and statistical interference for extreme values. For this Third Edition, the entire text has been thoroughly updated and rearranged to meet contemporary requirements, with new sections and chapters address such topics as dependencies, the conditional analysis and the multivariate modeling of extreme data. New chapters include An Overview of Reduced-Bias Estimation; The Spectral Decomposition Methodology; About Tail Independence; and Extreme Value Statistics of Dependent Random Variables.

Inhaltsangabe

Modeling and Data Analysis.- Parametric Modeling.- Diagnostic Tools.- Statistical Inference in Parametric Models.- An Introduction to Parametric Inference.- Extreme Value Models.- Generalized Pareto Models.- Advanced Statistical Analysis.- Statistics of Dependent Variables.- Conditional Extremal Analysis.- Statistical Models for Exceedance Processes.- Elements of Multivariate Statistical Analysis.- Basic Multivariate Concepts and Visualization.- Elliptical and Related Distributions.- Multivariate Maxima.- Multivariate Peaks Over Threshold.- Topics in Hydrology and Environmental Sciences.- Flood Frequency Analysis.- Environmental Sciences.- Topics in Finance and Insurance.- Extreme Returns in Asset Prices.- The Impact of Large Claims on Actuarial Decisions.- Topics in Material and Life Sciences.- Material Sciences.- Life Science.

Klappentext

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.

Related software is available for free download on extras. springer. com.