Extreme Value Theory And Applications
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Extreme Value Theory
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Author : Laurens de Haan
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-12-09
Extreme Value Theory written by Laurens de Haan and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-12-09 with Mathematics categories.
Focuses on theoretical results along with applications All the main topics covering the heart of the subject are introduced to the reader in a systematic fashion Concentration is on the probabilistic and statistical aspects of extreme values Excellent introduction to extreme value theory at the graduate level, requiring only some mathematical maturity
Extreme Value Theory And Applications
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Author : J. Galambos
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-12-01
Extreme Value Theory And Applications written by J. Galambos and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-01 with Mathematics categories.
It appears that we live in an age of disasters: the mighty Missis sippi and Missouri flood millions of acres, earthquakes hit Tokyo and California, airplanes crash due to mechanical failure and the seemingly ever increasing wind speeds make the storms more and more frightening. While all these may seem to be unexpected phenomena to the man on the street, they are actually happening according to well defined rules of science known as extreme value theory. We know that records must be broken in the future, so if a flood design is based on the worst case of the past then we are not really prepared against floods. Materials will fail due to fatigue, so if the body of an aircraft looks fine to the naked eye, it might still suddenly fail if the aircraft has been in operation over an extended period of time. Our theory has by now penetrated the so cial sciences, the medical profession, economics and even astronomy. We believe that our field has come of age. In or~er to fully utilize the great progress in the theory of extremes and its ever increasing acceptance in practice, an international conference was organized in which equal weight was given to theory and practice. This book is Volume I of the Proceedings of this conference. In selecting the papers for Volume lour guide was to have authoritative works with a large variety of coverage of both theory and practice.
Extreme Value Distributions
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Author : Samuel Kotz
language : en
Publisher: World Scientific
Release Date : 2000
Extreme Value Distributions written by Samuel Kotz and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Mathematics categories.
This important book provides an up-to-date comprehensive and down-to-earth survey of the theory and practice of extreme value distributions ? one of the most prominent success stories of modern applied probability and statistics. Originated by E J Gumbel in the early forties as a tool for predicting floods, extreme value distributions evolved during the last 50 years into a coherent theory with applications in practically all fields of human endeavor where maximal or minimal values (the so-called extremes) are of relevance. The book is of usefulness both for a beginner with a limited probabilistic background and to expert in the field.
Statistics Of Extremes
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Author : Jan Beirlant
language : en
Publisher: John Wiley & Sons
Release Date : 2006-03-17
Statistics Of Extremes written by Jan Beirlant and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-03-17 with Mathematics categories.
Research in the statistical analysis of extreme values has flourished over the past decade: new probability models, inference and data analysis techniques have been introduced; and new application areas have been explored. Statistics of Extremes comprehensively covers a wide range of models and application areas, including risk and insurance: a major area of interest and relevance to extreme value theory. Case studies are introduced providing a good balance of theory and application of each model discussed, incorporating many illustrated examples and plots of data. The last part of the book covers some interesting advanced topics, including time series, regression, multivariate and Bayesian modelling of extremes, the use of which has huge potential.
Extreme Value Theory With Applications To Natural Hazards
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Author : Nicolas Bousquet
language : en
Publisher: Springer Nature
Release Date : 2021-10-09
Extreme Value Theory With Applications To Natural Hazards written by Nicolas Bousquet and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-10-09 with Mathematics categories.
This richly illustrated book describes statistical extreme value theory for the quantification of natural hazards, such as strong winds, floods and rainfall, and discusses an interdisciplinary approach to allow the theoretical methods to be applied. The approach consists of a number of steps: data selection and correction, non-stationary theory (to account for trends due to climate change), and selecting appropriate estimation techniques based on both decision-theoretic features (e.g., Bayesian theory), empirical robustness and a valid treatment of uncertainties. It also examines and critically reviews alternative approaches based on stochastic and dynamic numerical models, as well as recently emerging data analysis issues and presents large-scale, multidisciplinary, state-of-the-art case studies. Intended for all those with a basic knowledge of statistical methods interested in the quantification of natural hazards, the book is also a valuable resource for engineers conducting risk analyses in collaboration with scientists from other fields (such as hydrologists, meteorologists, climatologists).
Extreme Value Methods With Applications To Finance
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Author : Serguei Y. Novak
language : en
Publisher: CRC Press
Release Date : 2011-12-20
Extreme Value Methods With Applications To Finance written by Serguei Y. Novak and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-12-20 with Mathematics categories.
Extreme value theory (EVT) deals with extreme (rare) events, which are sometimes reported as outliers. Certain textbooks encourage readers to remove outliers—in other words, to correct reality if it does not fit the model. Recognizing that any model is only an approximation of reality, statisticians are eager to extract information about unknown distribution making as few assumptions as possible. Extreme Value Methods with Applications to Finance concentrates on modern topics in EVT, such as processes of exceedances, compound Poisson approximation, Poisson cluster approximation, and nonparametric estimation methods. These topics have not been fully focused on in other books on extremes. In addition, the book covers: Extremes in samples of random size Methods of estimating extreme quantiles and tail probabilities Self-normalized sums of random variables Measures of market risk Along with examples from finance and insurance to illustrate the methods, Extreme Value Methods with Applications to Finance includes over 200 exercises, making it useful as a reference book, self-study tool, or comprehensive course text. A systematic background to a rapidly growing branch of modern Probability and Statistics: extreme value theory for stationary sequences of random variables.
Extreme Value Theory And Applications
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Author : Janos Galambos
language : en
Publisher:
Release Date : 1994-12-01
Extreme Value Theory And Applications written by Janos Galambos and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994-12-01 with categories.
Extreme value theory are well defined rules of science that governs disasters, accidents, earthquakes and other unexpected phenomena. It has penetrated the social sciences, the medical profession, economics and even astronomy. The proceedings of this international conference gives equal weight to theory and practice, and was organized to utilize and stimulate progress in the theory of extremes and promote its application. 28 papers presented. Tables and figures.
Extreme Events In Finance
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Author : Francois Longin
language : en
Publisher: John Wiley & Sons
Release Date : 2016-10-17
Extreme Events In Finance written by Francois Longin and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-10-17 with Business & Economics categories.
A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector Presenting a uniquely accessible guide, Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance and a practical understanding of market behavior including both ordinary and extraordinary conditions. Beginning with a fascinating history of EVTs and financial modeling, the handbook introduces the historical implications that resulted in the applications and then clearly examines the fundamental results of EVT in finance. After dealing with these theoretical results, the handbook focuses on the EVT methods critical for data analysis. Finally, the handbook features the practical applications and techniques and how these can be implemented in financial markets. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications includes: Over 40 contributions from international experts in the areas of finance, statistics, economics, business, insurance, and risk management Topical discussions on univariate and multivariate case extremes as well as regulation in financial markets Extensive references in order to provide readers with resources for further study Discussions on using R packages to compute the value of risk and related quantities The book is a valuable reference for practitioners in financial markets such as financial institutions, investment funds, and corporate treasuries, financial engineers, quantitative analysts, regulators, risk managers, large-scale consultancy groups, and insurers. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications is also a useful textbook for postgraduate courses on the methodology of EVTs in finance.
Extreme Value Theory And Applications
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Author : János Galambos
language : en
Publisher:
Release Date : 1994
Extreme Value Theory And Applications written by János Galambos and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Extreme value theory categories.
Extreme Values In Finance Telecommunications And The Environment
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Author : Barbel Finkenstadt
language : en
Publisher: CRC Press
Release Date : 2003-07-28
Extreme Values In Finance Telecommunications And The Environment written by Barbel Finkenstadt and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-07-28 with Mathematics categories.
Because of its potential to ...predict the unpredictable,... extreme value theory (EVT) and methodology is currently receiving a great deal of attention from statistical and mathematical researchers. This book brings together world-recognized authorities in their respective fields to provide expository chapters on the applications, use, and theory