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This title in other editions

Extreme Value Theory: An Introduction (Springer Series in Operations Research and Financial Enginee)

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Extreme Value Theory: An Introduction (Springer Series in Operations Research and Financial Enginee) Cover

 

Synopses & Reviews

Publisher Comments:

Extreme Value Theory offers a careful, coherent exposition of the subject starting from the probabilistic and mathematical foundations and proceeding to the statistical theory. The book covers both the classical one-dimensional case as well as finite- and infinite-dimensional settings. All the main topics at the heart of the subject are introduced in a systematic fashion so that in the final chapter even the most recent developments in the theory can be understood. The treatment is geared toward applications. The presentation concentrates on the probabilistic and statistical aspects of extreme values such as limiting results, domains of attraction and development of estimators without emphasizing related topics such as point processes, empirical distribution functions and Brownian motion. An appendix on regular variation has been added since some required results in that area are not available in book form. The usefulness of the statistical theory is shown by treating several case studies in detail. The book is a thorough, accessible, self-contained, graduate level treatment of modern extreme value theory and some of its applications. It is aimed at graduate students and researchers and requires only maturity in mathematics and statistics.

Synopsis:

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

Synopsis:

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 so that in the final chapter even the most recent developments in the theory can be understood. Key to the presentation is the concentration on the probabilistic and statistical aspects of extreme values without major emphasis on such related topics as regular variation, point processes, empirical distribution functions, and Brownian motion. The work is an excellent introduction to extreme value theory at the graduate level, requiring only some mathematical maturity.

Table of Contents

Preface.- Part I: 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.- More Advanced Topics.- Part II: Finite-Dimensional Observations.- Basic Theory.- Estimating the Dependence Structure.- Estimation of the Probability of a Failure Set.- Part III: Observations that are Stochastic Processes.- Basic Theory.- Examples.- Estimation.- Appendix A: Regular Variation (proofs).

Product Details

ISBN:
9781441920201
Author:
Haan, Laurens De
Publisher:
Springer
Author:
Ferreira, Ana
Author:
Haan, Laurens
Location:
New York, NY
Subject:
Statistics
Subject:
Probability Theory and Stochastic Processes
Subject:
Statistical Theory and Methods
Subject:
APPLICATIONS OF MATHEMATICS
Subject:
Applications of Mathematics <P>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 th
Subject:
Mathematics-Applied
Subject:
Mathematics
Subject:
B
Subject:
mathematics and statistics
Subject:
Distribution (Probability theory)
Subject:
Mathematical statistics
Copyright:
Edition Description:
Softcover reprint of hardcover 1st ed. 2006
Series:
Springer Series in Operations Research and Financial Engineering
Publication Date:
20101129
Binding:
TRADE PAPER
Language:
English
Pages:
436
Dimensions:
235 x 155 mm 656 gr

Related Subjects

Science and Mathematics » Mathematics » Applied
Science and Mathematics » Mathematics » Foundations and Logic
Science and Mathematics » Mathematics » General
Science and Mathematics » Mathematics » Logic and Philosophy
Science and Mathematics » Mathematics » Probability and Statistics » General
Science and Mathematics » Mathematics » Probability and Statistics » Statistics

Extreme Value Theory: An Introduction (Springer Series in Operations Research and Financial Enginee) New Trade Paper
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$77.50 In Stock
Product details 436 pages Not Avail - English 9781441920201 Reviews:
"Synopsis" by , 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
"Synopsis" by , 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 so that in the final chapter even the most recent developments in the theory can be understood. Key to the presentation is the concentration on the probabilistic and statistical aspects of extreme values without major emphasis on such related topics as regular variation, point processes, empirical distribution functions, and Brownian motion. The work is an excellent introduction to extreme value theory at the graduate level, requiring only some mathematical maturity.
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