Extreme Value Theory An Introduction / by Laurens de Haan, Ana Ferreira.

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...

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Bibliographic Details
Main Authors: de Haan, Laurens. (Author, http://id.loc.gov/vocabulary/relators/aut), Ferreira, Ana. (http://id.loc.gov/vocabulary/relators/aut)
Corporate Author: SpringerLink (Online service)
Format: eBook
Published: New York, NY : Springer New York : Imprint: Springer, 2006.
Edition:1st ed. 2006.
Series:Springer Series in Operations Research and Financial Engineering,
Springer eBook Collection.
Online Access:Click to view e-book
Holy Cross Note:Loaded electronically.
Electronic access restricted to members of the Holy Cross Community.
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].