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Statistical Analysis Of Extreme Values

Statistical Analysis of Extreme Values PDF

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Author: Rolf-Dieter Reiss
Publisher: Springer Science & Business Media
ISBN: 3764373997
Size: 23.19 MB
Format: PDF, Kindle
Category : Mathematics
Languages : en
Pages : 511
View: 4109


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.


An Introduction To Statistical Modeling Of Extreme Values

An Introduction to Statistical Modeling of Extreme Values PDF

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Author: Stuart Coles
Publisher: Springer Science & Business Media
ISBN: 1447136756
Size: 24.93 MB
Format: PDF, Mobi
Category : Mathematics
Languages : en
Pages : 209
View: 7197


Book Description: Directly oriented towards real practical application, this book develops both the basic theoretical framework of extreme value models and the statistical inferential techniques for using these models in practice. Intended for statisticians and non-statisticians alike, the theoretical treatment is elementary, with heuristics often replacing detailed mathematical proof. Most aspects of extreme modeling techniques are covered, including historical techniques (still widely used) and contemporary techniques based on point process models. A wide range of worked examples, using genuine datasets, illustrate the various modeling procedures and a concluding chapter provides a brief introduction to a number of more advanced topics, including Bayesian inference and spatial extremes. All the computations are carried out using S-PLUS, and the corresponding datasets and functions are available via the Internet for readers to recreate examples for themselves. An essential reference for students and researchers in statistics and disciplines such as engineering, finance and environmental science, this book will also appeal to practitioners looking for practical help in solving real problems. Stuart Coles is Reader in Statistics at the University of Bristol, UK, having previously lectured at the universities of Nottingham and Lancaster. In 1992 he was the first recipient of the Royal Statistical Society's research prize. He has published widely in the statistical literature, principally in the area of extreme value modeling.


Statistics Of Extremes

Statistics of Extremes PDF

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Author: Jan Beirlant
Publisher: John Wiley & Sons
ISBN: 9780471976479
Size: 13.25 MB
Format: PDF, Docs
Category : Mathematics
Languages : en
Pages : 514
View: 1751


Book Description: Research in the statistical analysis of extreme values has flourished over the past decade: new probability models, inference and data analysis techniques have been introduced; and new application areas have been explored. Statistics of Extremes comprehensively covers a wide range of models and application areas, including risk and insurance: a major area of interest and relevance to extreme value theory. Case studies are introduced providing a good balance of theory and application of each model discussed, incorporating many illustrated examples and plots of data. The last part of the book covers some interesting advanced topics, including time series, regression, multivariate and Bayesian modelling of extremes, the use of which has huge potential.


Extreme Values

Extreme Values PDF

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Author: Lee Fawcett
Publisher: Wiley-Blackwell
ISBN: 9780470746455
Size: 25.29 MB
Format: PDF
Category : Computers
Languages : en
Pages : 384
View: 945


Book Description: The statistical analysis of extremes is becoming more and more prevalent as we observe increasing levels of variability and turbulence, both in the natural world, and within social organizations such as commercial and financial institutions. In this book, full coverage is given to the analysis of extreme value data using R, providing the reader with the best starting point for analyzing data when the aim is inference about extreme values of the underlying process. The main topics in extreme value analysis are featured, together with a clear practical guide on how to implement the relevant statistical analysis using R. The book is aimed at those needing to carry out extreme value analyses, examples used will be taken from applications in engineering, reliability studies and in financial analysis where extremes are of interest (e.g. insurance/reinsurance).


Statistical Analysis Of Extreme Values

Statistical Analysis of Extreme Values PDF

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Author: Rolf-Dieter Reiss
Publisher: Birkhäuser
ISBN: 3034863365
Size: 24.69 MB
Format: PDF, Docs
Category : Mathematics
Languages : en
Pages : 316
View: 4638


Book Description: 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.


Extreme Value Theory

Extreme Value Theory PDF

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Author: Laurens de Haan
Publisher: Springer Science & Business Media
ISBN: 0387239464
Size: 23.27 MB
Format: PDF, ePub, Mobi
Category : Mathematics
Languages : en
Pages : 418
View: 609


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


Statistical Analysis In Climate Research

Statistical Analysis in Climate Research PDF

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Author: Hans von Storch
Publisher: Cambridge University Press
ISBN: 9780521012300
Size: 66.11 MB
Format: PDF, Kindle
Category : Mathematics
Languages : en
Pages : 484
View: 2652


Book Description: Self-contained, comprehensive book describing powerful tools in mathematical statistics that are used widely in climatological research.


Advances In Regression Survival Analysis Extreme Values Markov Processes And Other Statistical Applications

Advances in Regression  Survival Analysis  Extreme Values  Markov Processes and Other Statistical Applications PDF

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Author: João Lita da Silva
Publisher: Springer Science & Business Media
ISBN: 3642349048
Size: 61.68 MB
Format: PDF, ePub
Category : Mathematics
Languages : en
Pages : 471
View: 5257


Book Description: This volume of the Selected Papers from Portugal is a product of the Seventeenth Congress of the Portuguese Statistical Society, held at the beautiful resort seaside city of Sesimbra, Portugal, from September 30 to October 3, 2009. It covers a broad scope of theoretical, methodological as well as application-oriented articles in domains such as: Linear Models and Regression, Survival Analysis, Extreme Value Theory, Statistics of Diffusions, Markov Processes and other Statistical Applications.


Statistical Analysis Of Financial Data In R

Statistical Analysis of Financial Data in R PDF

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Author: René Carmona
Publisher: Springer Science & Business Media
ISBN: 1461487889
Size: 36.81 MB
Format: PDF, ePub, Docs
Category : Business & Economics
Languages : en
Pages : 588
View: 6191


Book Description: Although there are many books on mathematical finance, few deal with the statistical aspects of modern data analysis as applied to financial problems. This textbook fills this gap by addressing some of the most challenging issues facing financial engineers. It shows how sophisticated mathematics and modern statistical techniques can be used in the solutions of concrete financial problems. Concerns of risk management are addressed by the study of extreme values, the fitting of distributions with heavy tails, the computation of values at risk (VaR), and other measures of risk. Principal component analysis (PCA), smoothing, and regression techniques are applied to the construction of yield and forward curves. Time series analysis is applied to the study of temperature options and nonparametric estimation. Nonlinear filtering is applied to Monte Carlo simulations, option pricing and earnings prediction. This textbook is intended for undergraduate students majoring in financial engineering, or graduate students in a Master in finance or MBA program. It is sprinkled with practical examples using market data, and each chapter ends with exercises. Practical examples are solved in the R computing environment. They illustrate problems occurring in the commodity, energy and weather markets, as well as the fixed income, equity and credit markets. The examples, experiments and problem sets are based on the library Rsafd developed for the purpose of the text. The book should help quantitative analysts learn and implement advanced statistical concepts. Also, it will be valuable for researchers wishing to gain experience with financial data, implement and test mathematical theories, and address practical issues that are often ignored or underestimated in academic curricula. This is the new, fully-revised edition to the book Statistical Analysis of Financial Data in S-Plus. René Carmona is the Paul M. Wythes '55 Professor of Engineering and Finance at Princeton University in the department of Operations Research and Financial Engineering, and Director of Graduate Studies of the Bendheim Center for Finance. His publications include over one hundred articles and eight books in probability and statistics. He was elected Fellow of the Institute of Mathematical Statistics in 1984, and of the Society for Industrial and Applied Mathematics in 2010. He is on the editorial board of several peer-reviewed journals and book series. Professor Carmona has developed computer programs for teaching statistics and research in signal analysis and financial engineering. He has worked for many years on energy, the commodity markets and more recently in environmental economics, and he is recognized as a leading researcher and expert in these areas.