Statistical Analysis of Extreme Values

This is a self-contained introduction to parametric modeling, exploratory analysis and statistical interference for extreme values, as used in disciplines from hydrology to finance to environmental science. Updated and expanded by 100 pages.

Reliable statistical analysis of extreme data is important in a variety of 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. For this third edition, the entire text has been thoroughly updated and rearranged to meet contemporary requirements. More than 100 pages of 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 (co-authored by M.I. Gomes); The Spectral Decomposition Methodology, and About Tail Independence (co-authored by M. Frick); and Extreme Value Statistics of Dependent Random Variables (co-authored by H. Drees).

Within the applied parts of the book one will find new chapters about Environmental Sciences (co-authored by R.W. Katz) and Conditional Approaches to Financial Data The present book is a valuable contribution to the various theoretical and applied problems in the area of extreme value theory...a pleasure to read." (Statistics and Decisions, review of the 2nd ed.) The book is however much more than a manual for the program and it would provide an excellent introduction to the subject for any statistician looking for a practical introduction to the subject of extreme values." (J. Time Series Analysis, review of the 2nd ed.) Related software is available for free download on extras.springer.com Includes supplementary material: sn.pub/extras

Autorentext
Dr. Michael Thomas ist wissenschaftlicher Mitarbeiter am Brandenburg-Berliner Institut für Sozialwissenschaftliche Studien (BISS e.V.).

Inhalt
Modeling and Data Analysis.- Parametric Modeling.- Diagnostic Tools.- Statistical Inference in Parametric Models.- An Introduction to Parametric Inference.- Extreme Value Models.- Generalized Pareto Models.- Advanced Statistical Analysis.- Statistics of Dependent Variables.- Conditional Extremal Analysis.- Statistical Models for Exceedance Processes.- Elements of Multivariate Statistical Analysis.- Basic Multivariate Concepts and Visualization.- Elliptical and Related Distributions.- Multivariate Maxima.- Multivariate Peaks Over Threshold.- Topics in Hydrology and Environmental Sciences.- Flood Frequency Analysis.- Environmental Sciences.- Topics in Finance and Insurance.- Extreme Returns in Asset Prices.- The Impact of Large Claims on Actuarial Decisions.- Topics in Material and Life Sciences.- Material Sciences.- Life Science.