Extreme Values Regular Variation And Point Processes
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Extreme Values Regular Variation And Point Processes
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Author : Sidney I. Resnick
language : en
Publisher: Springer
Release Date : 2013-12-20
Extreme Values Regular Variation And Point Processes written by Sidney I. Resnick and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-20 with Mathematics categories.
This book examines 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 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.
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 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
Extreme Value Theory For Time Series
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Author : Thomas Mikosch
language : en
Publisher: Springer Nature
Release Date :
Extreme Value Theory For Time Series written by Thomas Mikosch and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.
Extreme Values In Random Sequences
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Author : Pavle Mladenović
language : en
Publisher: Springer Nature
Release Date :
Extreme Values In Random Sequences written by Pavle Mladenović and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.
Point Processes Associated With Extreme Value Theory
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Author : Tailen Hsing
language : en
Publisher:
Release Date : 1984
Point Processes Associated With Extreme Value Theory written by Tailen Hsing and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1984 with Extreme value theory categories.
This work demonstrates the application of point process theory in the context of statistical extremes. Consider a stationary random sequence which satisfies certain dependence restrictions. We study the asymptotic behavior of a sequence of point processes that record the positions at which extreme values occur. Necessary and sufficient conditions are given for the weak convergence of the sequence. It is found that the usual Poisson limit when the random sequence is i.i.d. is replaced by a Compound Poisson limit. The asymptotic distributions of extreme order statistics are derived from the weak convergence result using simple combinatorial arguments. A class of point processes in two dimensions is also considered. The weak limit is characterized to be a cluster process which is determined by a homogeneous Poisson Process and the local dependence structure of the random sequence. A random sequence whose members are the weighted maxima of i.i.d. random variables is studied. It is shown that the sequence satisfies our dependence restrictions, and the point process results developed can be applied. Specific limit forms of the various point processes of interest are derived. (Author).
The Art Of Finding Hidden Risks
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Author : Sidney Resnick
language : en
Publisher: Springer Nature
Release Date :
The Art Of Finding Hidden Risks written by Sidney Resnick and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.
An Introduction To Statistical Modeling Of Extreme Values
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Author : Stuart Coles
language : en
Publisher: Springer Science & Business Media
Release Date : 2001-08-20
An Introduction To Statistical Modeling Of Extreme Values written by Stuart Coles 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 2001-08-20 with Mathematics categories.
Directly oriented towards real practical application, this book develops both the basic theoretical framework of extreme value models and the statistical inferential techniques for using these models in practice. Intended for statisticians and non-statisticians alike, the theoretical treatment is elementary, with heuristics often replacing detailed mathematical proof. Most aspects of extreme modeling techniques are covered, including historical techniques (still widely used) and contemporary techniques based on point process models. A wide range of worked examples, using genuine datasets, illustrate the various modeling procedures and a concluding chapter provides a brief introduction to a number of more advanced topics, including Bayesian inference and spatial extremes. All the computations are carried out using S-PLUS, and the corresponding datasets and functions are available via the Internet for readers to recreate examples for themselves. An essential reference for students and researchers in statistics and disciplines such as engineering, finance and environmental science, this book will also appeal to practitioners looking for practical help in solving real problems. Stuart Coles is Reader in Statistics at the University of Bristol, UK, having previously lectured at the universities of Nottingham and Lancaster. In 1992 he was the first recipient of the Royal Statistical Society's research prize. He has published widely in the statistical literature, principally in the area of extreme value modeling.
Heavy Tailed Time Series
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Author : Rafal Kulik
language : en
Publisher: Springer Nature
Release Date : 2020-07-01
Heavy Tailed Time Series written by Rafal Kulik and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-07-01 with Mathematics categories.
This book aims to present a comprehensive, self-contained, and concise overview of extreme value theory for time series, incorporating the latest research trends alongside classical methodology. Appropriate for graduate coursework or professional reference, the book requires a background in extreme value theory for i.i.d. data and basics of time series. Following a brief review of foundational concepts, it progresses linearly through topics in limit theorems and time series models while including historical insights at each chapter’s conclusion. Additionally, the book incorporates complete proofs and exercises with solutions as well as substantive reference lists and appendices, featuring a novel commentary on the theory of vague convergence.
Statistical Analysis Of Extreme Values
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Author : Rolf-Dieter Reiss
language : en
Publisher: Birkhäuser
Release Date : 2013-10-14
Statistical Analysis Of Extreme Values written by Rolf-Dieter Reiss and has been published by Birkhäuser this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-14 with Mathematics categories.
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.