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Statistical Analysis of Extreme Values
with Applications to Insurance, Finance, Hydrology and Other Fields
Taschenbuch von Michael Thomas (u. a.)
Sprache: Englisch

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Beschreibung
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.

Related software is available for free download on extras.[...].
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.

Related software is available for free download on extras.[...].
Zusammenfassung

Reliable statistical analysis of extreme data is important in a variety of 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. For this third edition, the entire text has been thoroughly updated and rearranged to meet contemporary requirements. More than 100 pages of new sections and chapters address such topics as dependencies, the conditional analysis and the multivariate modeling of extreme data. New chapters include 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 Extreme Value Statistics of Dependent Random Variables (co-authored by H. Drees).

Inhaltsverzeichnis
Modeling and Data Analysis.- Parametric Modeling.- Diagnostic Tools.- Statistical Inference in Parametric Models.- An Introduction to Parametric Inference.- Extreme Value Models.- Generalized Pareto Models.- Advanced Statistical Analysis.- Statistics of Dependent Variables.- Conditional Extremal Analysis.- Statistical Models for Exceedance Processes.- Elements of Multivariate Statistical Analysis.- Basic Multivariate Concepts and Visualization.- Elliptical and Related Distributions.- Multivariate Maxima.- Multivariate Peaks Over Threshold.- Topics in Hydrology and Environmental Sciences.- Flood Frequency Analysis.- Environmental Sciences.- Topics in Finance and Insurance.- Extreme Returns in Asset Prices.- The Impact of Large Claims on Actuarial Decisions.- Topics in Material and Life Sciences.- Material Sciences.- Life Science.
Details
Erscheinungsjahr: 2007
Fachbereich: Wahrscheinlichkeitstheorie
Genre: Mathematik, Medizin, Naturwissenschaften, Technik
Rubrik: Naturwissenschaften & Technik
Medium: Taschenbuch
Inhalt: xviii
511 S.
ISBN-13: 9783764372309
ISBN-10: 3764372303
Sprache: Englisch
Herstellernummer: 11368342
Einband: Kartoniert / Broschiert
Autor: Thomas, Michael
Reiss, Rolf-Dieter
Auflage: 3rd edition 2007
Hersteller: Birkhäuser Basel
Springer Basel AG
Verantwortliche Person für die EU: Springer Basel AG in Springer Science + Business Media, Heidelberger Platz 3, D-14197 Berlin, juergen.hartmann@springer.com
Maße: 235 x 155 x 29 mm
Von/Mit: Michael Thomas (u. a.)
Erscheinungsdatum: 21.06.2007
Gewicht: 0,797 kg
Artikel-ID: 102291972
Zusammenfassung

Reliable statistical analysis of extreme data is important in a variety of 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. For this third edition, the entire text has been thoroughly updated and rearranged to meet contemporary requirements. More than 100 pages of new sections and chapters address such topics as dependencies, the conditional analysis and the multivariate modeling of extreme data. New chapters include 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 Extreme Value Statistics of Dependent Random Variables (co-authored by H. Drees).

Inhaltsverzeichnis
Modeling and Data Analysis.- Parametric Modeling.- Diagnostic Tools.- Statistical Inference in Parametric Models.- An Introduction to Parametric Inference.- Extreme Value Models.- Generalized Pareto Models.- Advanced Statistical Analysis.- Statistics of Dependent Variables.- Conditional Extremal Analysis.- Statistical Models for Exceedance Processes.- Elements of Multivariate Statistical Analysis.- Basic Multivariate Concepts and Visualization.- Elliptical and Related Distributions.- Multivariate Maxima.- Multivariate Peaks Over Threshold.- Topics in Hydrology and Environmental Sciences.- Flood Frequency Analysis.- Environmental Sciences.- Topics in Finance and Insurance.- Extreme Returns in Asset Prices.- The Impact of Large Claims on Actuarial Decisions.- Topics in Material and Life Sciences.- Material Sciences.- Life Science.
Details
Erscheinungsjahr: 2007
Fachbereich: Wahrscheinlichkeitstheorie
Genre: Mathematik, Medizin, Naturwissenschaften, Technik
Rubrik: Naturwissenschaften & Technik
Medium: Taschenbuch
Inhalt: xviii
511 S.
ISBN-13: 9783764372309
ISBN-10: 3764372303
Sprache: Englisch
Herstellernummer: 11368342
Einband: Kartoniert / Broschiert
Autor: Thomas, Michael
Reiss, Rolf-Dieter
Auflage: 3rd edition 2007
Hersteller: Birkhäuser Basel
Springer Basel AG
Verantwortliche Person für die EU: Springer Basel AG in Springer Science + Business Media, Heidelberger Platz 3, D-14197 Berlin, juergen.hartmann@springer.com
Maße: 235 x 155 x 29 mm
Von/Mit: Michael Thomas (u. a.)
Erscheinungsdatum: 21.06.2007
Gewicht: 0,797 kg
Artikel-ID: 102291972
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