An Introduction to Statistical Modeling of Extreme Values PDF Download
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Author: Stuart Coles
Publisher: Springer Science & Business Media
ISBN: 1852334592
Category : Mathematics
Languages : en
Pages : 226
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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.
Author: Stuart Coles
Publisher: Springer Science & Business Media
ISBN: 1852334592
Category : Mathematics
Languages : en
Pages : 226
Get Book Here
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.
Author: Laurens de Haan
Publisher: Springer Science & Business Media
ISBN: 0387344713
Category : Mathematics
Languages : en
Pages : 421
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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
Author: Stuart Coles
Publisher: Springer Science & Business Media
ISBN: 1447136756
Category : Mathematics
Languages : en
Pages : 219
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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.
Author: Nicolas Bousquet
Publisher: Springer Nature
ISBN: 3030749428
Category : Mathematics
Languages : en
Pages : 491
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Book Description
This richly illustrated book describes statistical extreme value theory for the quantification of natural hazards, such as strong winds, floods and rainfall, and discusses an interdisciplinary approach to allow the theoretical methods to be applied. The approach consists of a number of steps: data selection and correction, non-stationary theory (to account for trends due to climate change), and selecting appropriate estimation techniques based on both decision-theoretic features (e.g., Bayesian theory), empirical robustness and a valid treatment of uncertainties. It also examines and critically reviews alternative approaches based on stochastic and dynamic numerical models, as well as recently emerging data analysis issues and presents large-scale, multidisciplinary, state-of-the-art case studies. Intended for all those with a basic knowledge of statistical methods interested in the quantification of natural hazards, the book is also a valuable resource for engineers conducting risk analyses in collaboration with scientists from other fields (such as hydrologists, meteorologists, climatologists).
Author: Jan Beirlant
Publisher: John Wiley & Sons
ISBN: 0470012374
Category : Mathematics
Languages : en
Pages : 522
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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.
Author: Barbel Finkenstadt
Publisher: CRC Press
ISBN: 0203483359
Category : Mathematics
Languages : en
Pages : 422
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Book Description
Because of its potential to ...predict the unpredictable,... extreme value theory (EVT) and methodology is currently receiving a great deal of attention from statistical and mathematical researchers. This book brings together world-recognized authorities in their respective fields to provide expository chapters on the applications, use, and theory
Author: Rudolf J. Freund
Publisher: Elsevier
ISBN: 0080498221
Category : Mathematics
Languages : en
Pages : 694
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Book Description
This broad text provides a complete overview of most standard statistical methods, including multiple regression, analysis of variance, experimental design, and sampling techniques. Assuming a background of only two years of high school algebra, this book teaches intelligent data analysis and covers the principles of good data collection. * Provides a complete discussion of analysis of data including estimation, diagnostics, and remedial actions * Examples contain graphical illustration for ease of interpretation * Intended for use with almost any statistical software * Examples are worked to a logical conclusion, including interpretation of results * A complete Instructor's Manual is available to adopters
Author: Chen Zhou
Publisher: Rozenberg Publishers
ISBN: 9051709129
Category :
Languages : en
Pages : 224
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Book Description
In the 18th century, statisticians sometimes worked as consultants to gamblers. In order to answer questions like "If a fair coin is flipped 100 times, what is the probability of getting 60 or more heads?", Abraham de Moivre discovered the so-called "normal curve". Independently, Pierre-Simon Laplace derived the central limit theorem, where the normal distribution acts as the limit for the distribution of the sample mean. Nowadays, statisticians sometimes work as consultants for economists, to whom the normal distribution is far from a satisfactory model. For example, one may need to model large-impact financial events in order to to answer questions like "What is the probability of getting into a crisis period similar to the credit squeeze in 2007 in the coming 10 years?". At first glance, estimating the chances of events that rarely happen or even have never happened before sounds like a "mission impossible". The development of Extreme Value Theory (EVT) shows that it is in fact possible to achieve this goal. Different from the central limit theorem, Extreme Value Theory starts from the limit distribution of the sample maximum. Initiated by M. Frechet, R. Fisher and R. von Mises, the limit theory completed by B. Gnedenko, gave the fundamental assumption in EVT, the "extreme value condition". Statistically, the extreme value condition provides a semi-parametric model for the tails of distribution functions. Therefore it can be applied to evaluate the rare events. On the other hand, since the assumption is rather general and natural, the semi-parametric model can have extensive applications in numerous felds.
Author: Lee Fawcett
Publisher: Wiley
ISBN: 9780470746455
Category : Mathematics
Languages : en
Pages : 0
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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).
Author: Albert W. Marshall
Publisher: Springer Science & Business Media
ISBN: 0387684778
Category : Technology & Engineering
Languages : en
Pages : 785
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Book Description
This book is devoted to the study of univariate distributions appropriate for the analyses of data known to be nonnegative. The book includes much material from reliability theory in engineering and survival analysis in medicine.
