Statistical Analysis of Extreme Values from Insurance, Finance, Hydrology and Other Fields / by Rolf-Dieter Reiss, Michael Thomas.

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 v...

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Bibliographic Details
Main Authors: Reiss, Rolf-Dieter. (Author, http://id.loc.gov/vocabulary/relators/aut), Thomas, Michael. (http://id.loc.gov/vocabulary/relators/aut)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Basel : Birkhäuser Basel : Imprint: Birkhäuser, 1997.
Edition:1st ed. 1997.
Series:Springer eBook Collection.
Subjects:
Online Access:Click to view e-book
Holy Cross Note:Loaded electronically.
Electronic access restricted to members of the Holy Cross Community.
Description
Summary: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.
Physical Description:XVII, 316 p. 107 illus. online resource.
ISBN:9783034863360