Statistical analysis of extreme values with applications to insurance, finance, hydrology and other fields

• Main Authors: Reiss, R.-D. Rolf-Dieter (Author), Thomas, M. Michael 1967- (Author)
• Format: Book
• Published: Basel Birkheauser 2007; ©2007
• Edition: Third Edition
• Subjects: Extreme value theory; Multivariate analysis
• Online Access: Click Here to View Status and Holdings.
• Item Description: Previous ed.: 2001
• Physical Description: xvii, 511 pages illustrations 24 cm. 1 computer optical disc (4 3/4 in.)
• Bibliography: Includes bibliographical references (page 509-511) and index
• ISBN: 9783764372309; 3764372303

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.