Second Order Regular Variation Ans Rates of Convergence in Extreme Value Theory PDF Download

Author: Laurens F. M. de Haan
Publisher:
ISBN:
Category :
Languages : en
Pages : 29

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Book Description

Author: L. de Haan
Publisher:
ISBN:
Category :
Languages : en
Pages : 29

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Book Description

Author: Laurens de Haan
Publisher: Springer Science & Business Media
ISBN: 0387344713
Category : Mathematics
Languages : en
Pages : 421

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Book Description
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

Author: J. L. Geluk
Publisher:
ISBN:
Category : Analytic functions
Languages : en
Pages : 148

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Book Description

Author: Rolf-Dieter Reiss
Publisher: Springer Science & Business Media
ISBN: 3764373997
Category : Mathematics
Languages : en
Pages : 511

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Book Description
Statistical analysis of extreme data is vital to many disciplines including hydrology, insurance, finance, engineering and environmental sciences. This book provides a self-contained introduction to 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, with 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; The Spectral Decomposition Methodology; About Tail Independence; and Extreme Value Statistics of Dependent Random Variables.

Author: Mengxi Yi
Publisher: Springer Nature
ISBN: 3031226879
Category : Mathematics
Languages : en
Pages : 500

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Book Description
This book presents recent developments in multivariate and robust statistical methods. Featuring contributions by leading experts in the field it covers various topics, including multivariate and high-dimensional methods, time series, graphical models, robust estimation, supervised learning and normal extremes. It will appeal to statistics and data science researchers, PhD students and practitioners who are interested in modern multivariate and robust statistics. The book is dedicated to David E. Tyler on the occasion of his pending retirement and also includes a review contribution on the popular Tyler’s shape matrix.

Author: N. H. Bingham
Publisher: Cambridge University Press
ISBN: 9780521379434
Category : Mathematics
Languages : en
Pages : 518

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Book Description
A comprehensive account of the theory and applications of regular variation.

Author: Paul Embrechts
Publisher: Springer Science & Business Media
ISBN: 3642334830
Category : Business & Economics
Languages : en
Pages : 657

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Book Description
"A reader's first impression on leafing through this book is of the large number of graphs and diagrams, used to illustrate shapes of distributions...and to show real data examples in various ways. A closer reading reveals a nice mix of theory and applications, with the copious graphical illustrations alluded to. Such a mixture is of course dear to the heart of the applied probabilist/statistician, and should impress even the most ardent theorists." --MATHEMATICAL REVIEWS

Author: Chen Zhou
Publisher: Rozenberg Publishers
ISBN: 9051709129
Category :
Languages : en
Pages : 224

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Book Description
In the 18th century, statisticians sometimes worked as consultants to gamblers. In order to answer questions like "If a fair coin is flipped 100 times, what is the probability of getting 60 or more heads?", Abraham de Moivre discovered the so-called "normal curve". Independently, Pierre-Simon Laplace derived the central limit theorem, where the normal distribution acts as the limit for the distribution of the sample mean. Nowadays, statisticians sometimes work as consultants for economists, to whom the normal distribution is far from a satisfactory model. For example, one may need to model large-impact financial events in order to to answer questions like "What is the probability of getting into a crisis period similar to the credit squeeze in 2007 in the coming 10 years?". At first glance, estimating the chances of events that rarely happen or even have never happened before sounds like a "mission impossible". The development of Extreme Value Theory (EVT) shows that it is in fact possible to achieve this goal. Different from the central limit theorem, Extreme Value Theory starts from the limit distribution of the sample maximum. Initiated by M. Frechet, R. Fisher and R. von Mises, the limit theory completed by B. Gnedenko, gave the fundamental assumption in EVT, the "extreme value condition". Statistically, the extreme value condition provides a semi-parametric model for the tails of distribution functions. Therefore it can be applied to evaluate the rare events. On the other hand, since the assumption is rather general and natural, the semi-parametric model can have extensive applications in numerous felds.

Author: Barbel Finkenstadt
Publisher: CRC Press
ISBN: 0203483359
Category : Mathematics
Languages : en
Pages : 422

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Book Description
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