Overview
- presents a readable and efficient account of the fundamental mathematical and stochastic process techniques needed to study the behavior of extreme values of phenomena
- presents a coherent treatment of the distributional and sample path fundamental properties of extremes and records
- emphasizes the core primacy of three topics necessary for understanding extremes: the analytical theory of regularly varying functions; the probabilistic theory of point processes and random measures; and the link to asymptotic distribution approximations provided by the theory of weak convergence of probability measures in metric spaces
- requires an introductory measure-theoretic course in probability as a prerequisite
- includes self-contained chapters and an extensive list of exercises in each section that offer alternate approaches, test mastery
- aims to inspire students and researchers in probability, statistics, financial engineering, mathematics, operations research, civil engineering and economics
Part of the book series: Springer Series in Operations Research and Financial Engineering (ORFE)
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Table of contents (6 chapters)
Keywords
- Karamata's Theorem
- Laplace Functionals
- Max-Infinite Divisibility
- Multivariate Extremes
- Poisson Processes
- Skorohod Spaces
- approximation
- distribution
- Mathematica
- operations research
- point process
- Poisson process
- probability
- probability theory
- random measure
- Random variable
- statistics
- stochastic process
- stochastic processes
- Variation
About this book
Extremes Values, Regular Variation and Point Processes is a readable and efficient account of the fundamental mathematical and stochastic process techniques needed to study the behavior of extreme values of phenomena based on independent and identically distributed random variables and vectors. It presents a coherent treatment of the distributional and sample path fundamental properties of extremes and records. It emphasizes the core primacy of three topics necessary for understanding extremes: the analytical theory of regularly varying functions; the probabilistic theory of point processes and random measures; and the link to asymptotic distribution approximations provided by the theory of weak convergence of probability measures in metric spaces.
The book is self-contained and requires an introductory measure-theoretic course in probability as a prerequisite. Almost all sections have an extensive list of exercises which extend developments in the text, offer alternate approaches, test mastery and provide for enjoyable muscle flexing by a reader. The material is aimed at students and researchers in probability, statistics, financial engineering, mathematics, operations research, civil engineering and economics who need to know about: asymptotic methods for extremes; models for records and record frequencies; stochastic process and point process methods and their applications to obtaining distributional approximations; pervasive applications of the theory of regular variation in probability theory, statistics and financial engineering.
“This book is written in a very lucid way. The style is sober, the mathematics tone is pleasantly conversational, convincing and enthusiastic. A beautiful book!”
Bulletin of the Dutch Mathematical Society
“This monograph is written in a very attractive style. It contains a lot of complementary exercises and practically all important bibliographical reference.”
Revue Roumaine deMathématiques Pures et Appliquées
Reviews
"This book is written in a very lucid way. The style is sober, the mathematics tone is pleasantly conversational, convincing and enthusiastic. A beautiful book!"
---Bulletin of the Dutch Mathematical Society
"This monograph is written in a very attractive style. It contains a lot of complementary exercises and practically all important bibliographical reference."
---Revue Roumaine de Mathématiques Pures et Appliquées
From the reviews:
“This book provides an in-depth treatment of the theory of extreme values. … written at a level suited for researchers and advanced graduate students in areas such as probability statistics, and operations research. … clearly written and provides a solid and well-organised account of the theory. … In summary, those interested in the theory will find the book most interesting. … an excellent and clear book to read. It is a classic text … .” (J. Shortle, Journal of the Operational Research Society, Vol. 61, 2010)
Authors and Affiliations
Bibliographic Information
Book Title: Extreme Values, Regular Variation and Point Processes
Authors: Sidney I. Resnick
Series Title: Springer Series in Operations Research and Financial Engineering
DOI: https://doi.org/10.1007/978-0-387-75953-1
Publisher: Springer New York, NY
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eBook Packages: Springer Book Archive
Copyright Information: Springer Science+Business Media New York 1987
Softcover ISBN: 978-0-387-75952-4Published: 26 November 2007
eBook ISBN: 978-0-387-75953-1Published: 20 December 2013
Series ISSN: 1431-8598
Series E-ISSN: 2197-1773
Edition Number: 1
Number of Pages: XIV, 320
Additional Information: Originally published as volume 4 in the series: Applied Probability
Topics: Probability Theory and Stochastic Processes, Mathematical Modeling and Industrial Mathematics, Approximations and Expansions