Statistical Analysis of Extreme Values
from Insurance, Finance, Hydrology and Other Fields
Authors: Reiss, Rolf-Dieter, Thomas, MichaelFree Preview
- Updated and expanded by some 100 pages
- New chapters include An Overview of Reduced-Bias Estimation; The Spectral Decomposition Methodology; About Tail Independence; and Extreme Value Statistics of Dependent Random Variables
- Includes CD-ROM with statistical MS Windows application Academic Xtremes 4.1 and StatPascal
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- ISBN 978-3-0348-6336-0
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- About this Textbook
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.
"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."
"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
"This book is complemented by an excellent statistical package on CD ROM... 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."
"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."
"The book can be highly recommended to all who deal with statistics of extremes." - Zeitschrift fur Mathematik
- Table of contents (16 chapters)
An Introduction to Parametric Inference
Extreme Value Models
Generalized Pareto Models
Table of contents (16 chapters)
- Bibliographic Information
- Book Title
- Statistical Analysis of Extreme Values
- Book Subtitle
- from Insurance, Finance, Hydrology and Other Fields
- Rolf-Dieter Reiss
- Michael Thomas
- Birkhäuser Basel
- Copyright Holder
- Springer Basel AG
- eBook ISBN
- Edition Number
- Number of Pages
- XVII, 316
- Number of Illustrations
- 107 b/w illustrations