Rolf-Dieter Reiss, Michael Thomas

Statistical Analysis of Extreme Values (eBook, PDF)

with Applications to Insurance, Finance, Hydrology and Other Fields

• Format: PDF

Produktbeschreibung

Reliable statistical analysis of extreme data is important in a variety of 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. For this third edition, the entire text has been thoroughly updated and rearranged to meet contemporary requirements. More than 100 pages of 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 (co-authored by M.I. Gomes); The Spectral Decomposition Methodology, and About Tail Independence (co-authored by M. Frick); and Extreme Value Statistics of Dependent Random Variables (co-authored by H. Drees).

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Produktdetails

• Verlag: Springer Basel
• Seitenzahl: 511
• Erscheinungstermin: 8. August 2007
• Englisch
• ISBN-13: 9783764373993
• Artikelnr.: 44226712

Autorenporträt

Dr. Michael Thomas ist wissenschaftlicher Mitarbeiter am Brandenburg-Berliner Institut für Sozialwissenschaftliche Studien (BISS e.V.).

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.

Rezensionen

"The book is well written. It assumes a knowledge of statistics, but many of the ideas and techniques can be used by a nonstatistician. As a handbook for XTREMES, it is excellent, and I recommend it highly."

-Computing Reviews

"The present book is a valuable contribution to the various theoretical and applied problems in the area of extreme value theory...a pleasure to read."

-Statistics & Decisions

"The book is however much more than a manual for the program and it would provide an excellent introduction to the subject for any statistician looking for a practical introduction to the subject of extreme values."

- J. Time Series Analysis

"With general statistics software, appropriate tools for the analysis of real extreme value problems are rarely provided. XTREMES excellently fills this gap in the statistics software market."

-Computational Statistics

"For a practitioner from industry, insurance, or finance who is less concerned with understanding the underlying probability and more interested in applications, this new book will be a good buy."

-JASA

"The book can be highly recommended to all who deal with statistics of extremes." - Zeitschrift fur Mathematik