Statistical analysis of extreme values : with applications to insurance, finance, hydrology and other fields
著者
書誌事項
Statistical analysis of extreme values : with applications to insurance, finance, hydrology and other fields
Birkhäuser Verlag, c2007
3rd ed
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注記
Bibliography: p. [509]-511
Includes indexes
内容説明・目次
内容説明
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.
目次
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.
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