Extreme Value Theory An Introduction /

• Main Authors: Haan, Laurens de (Author), Ferreira, Ana (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: New York, NY : Springer New York, 2006.
• Series: Springer Series in Operations Research and Financial Engineering,
• Subjects: Mathematics.; Applied mathematics.; Engineering mathematics.; Probabilities.; Statistics.; Probability Theory and Stochastic Processes.; Statistical Theory and Methods.; Applications of Mathematics.

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...

Table of Contents:

• 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
• Advanced Topics
• Finite-Dimensional Observations
• Basic Theory
• Estimation of the Dependence Structure
• Estimation of the Probability of a Failure Set
• Observations That Are Stochastic Processes
• Basic Theory in C[0,1]
• Estimation in C[0, 1].