Springer Series in Operations Research and Financial Engineering

Extreme Values, Regular Variation and Point Processes

Authors: Resnick, Sidney I.

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  • Presents a readable and efficient account of the fundamental mathematical and stochastic process techniques needed to study the behavior of extreme values of phenomena  
  • Provides 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
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eBook 67,82 €
price for Spain (gross)
  • ISBN 978-0-387-75953-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
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  • Immediate eBook download after purchase
Softcover 83,19 €
price for Spain (gross)
  • ISBN 978-0-387-75952-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
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 de Mathématiques 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)


Table of contents (6 chapters)

Buy this book

eBook 67,82 €
price for Spain (gross)
  • ISBN 978-0-387-75953-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover 83,19 €
price for Spain (gross)
  • ISBN 978-0-387-75952-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
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Bibliographic Information

Bibliographic Information
Book Title
Extreme Values, Regular Variation and Point Processes
Authors
Series Title
Springer Series in Operations Research and Financial Engineering
Copyright
1987
Publisher
Springer-Verlag New York
Copyright Holder
Springer Science+Business Media New York
eBook ISBN
978-0-387-75953-1
DOI
10.1007/978-0-387-75953-1
Softcover ISBN
978-0-387-75952-4
Series ISSN
1431-8598
Edition Number
1
Number of Pages
XIV, 320
Additional Information
Originally published as volume 4 in the series: Applied Probability
Topics