Extreme Value Theory

An Introduction
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ISBN-13:
9780387239460
Veröffentl:
2006
Einband:
HC runder Rücken kaschiert
Erscheinungsdatum:
21.06.2006
Seiten:
440
Autor:
Ana Ferreira
Gewicht:
822 g
Format:
241x160x29 mm
Serie:
Springer Series in Operations Research and Financial Engineering
Sprache:
Englisch
Beschreibung:

Focuses on theoretical results along with applicationsAll the main topics covering the heart of the subject are introduced to the reader in a systematic fashionConcentration is on the probabilistic and statistical aspects of extreme valuesExcellent introduction to extreme value theory at the graduate level, requiring only some mathematical maturity
This treatment of extreme value theory is unique in book literature in that it focuses on some beautiful theoretical results along with applications. All the main topics covering the heart of the subject are introduced to the reader in a systematic fashion. Key to the presentation is the concentration on the probabilistic and statistical aspects of extreme values. The work is an excellent introduction to extreme value theory at the graduate level, requiring only some mathematical maturity.
One-Dimensional Observations.- Limit Distributions and Domains of Attraction.- Extreme and Intermediate Order Statistics.- Estimation of the Extreme Value Index and Testing.- Extreme Quantile and Tail Estimation.- Advanced Topics.- Finite-Dimensional Observations.- Basic Theory.- Estimation of the Dependence Structure.- Estimation of the Probability of a Failure Set.- Observations That Are Stochastic Processes.- Basic Theory in C[0,1].- Estimation in C[0, 1].

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