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Extreme value theory : an introduction / Laurens de Haan, Ana Ferreira.

By: Contributor(s): Series: Springer series in operations researchNew York : Springer, c2006Description: xvi, 417 p. : ill. ; 24 cmContent type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
ISBN:
  • 0387239464 (hbk.)
  • 9780387239460 (hbk.)
  • 0387344713
  • 9780387344713
  • 9781441920201
  • 144192020X
Subject(s): LOC classification:
  • QA273.6 .H29 2006
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).
Summary: 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.
Holdings
Item type Current library Call number Copy number Status Date due Barcode Item holds
BOOK BOOK NCAR Library Foothills Lab QA273.6 .H29 2006 1 Available 50583020002386
Total holds: 0

Includes bibliographical references (p. [407]-413) and index.

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).

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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