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Author: Enrique Castillo
Publisher: Elsevier
ISBN: 0080917259
Category : Mathematics
Languages : en
Pages : 406
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Book Description
This book is a comprehensive guide to extreme value theory in engineering. Written for the end user with intermediate and advanced statistical knowledge, it covers classical methods as well as recent advances. A collection of 150 examples illustrates the theoretical results and takes the reader from simple applications through complex cases of dependence.
Author: Enrique Castillo
Publisher: Elsevier
ISBN: 0080917259
Category : Mathematics
Languages : en
Pages : 406
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Book Description
This book is a comprehensive guide to extreme value theory in engineering. Written for the end user with intermediate and advanced statistical knowledge, it covers classical methods as well as recent advances. A collection of 150 examples illustrates the theoretical results and takes the reader from simple applications through complex cases of dependence.
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: Samuel Kotz
Publisher: World Scientific
ISBN: 1860944027
Category : Mathematics
Languages : en
Pages : 195
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Book Description
This important book provides an up-to-date comprehensive and down-to-earth survey of the theory and practice of extreme value distributions OCo one of the most prominent success stories of modern applied probability and statistics. Originated by E J Gumbel in the early forties as a tool for predicting floods, extreme value distributions evolved during the last 50 years into a coherent theory with applications in practically all fields of human endeavor where maximal or minimal values (the so-called extremes) are of relevance. The book is of usefulness both for a beginner with a limited probabilistic background and to expert in the field. Sample Chapter(s). Chapter 1.1: Historical Survey (139 KB). Chapter 1.2: The Three Types of Extreme Value Distributions (146 KB). Chapter 1.3: Limiting Distributions and Domain of Attraction (210 KB). Chapter 1.4: Distribution Function and Moments of Type 1 Distribution (160 KB). Chapter 1.5: Order Statistics, Record Values and Characterizations (175 KB). Contents: Univariate Extreme Value Distributions; Generalized Extreme Value Distributions; Multivariate Extreme Value Distributions. Readership: Applied probabilists, applied statisticians, environmental scientists, climatologists, industrial engineers and management experts."
Author: Enrique Castillo
Publisher: Wiley-Interscience
ISBN: 9780471671725
Category : Mathematics
Languages : en
Pages : 0
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Book Description
A straightforward, practical guide to extreme value modeling for today's world Measuring and interpreting data for extreme values presents a unique and important challenge that has far-reaching implications for all aspects of modern engineering and science. Extreme Value and Related Models with Applications in Engineering and Science reflects the latest information in this growing field. The book incorporates illuminating real-world examples from such areas as structural engineering, hydraulics, meteorology, materials science, highway traffic analysis, environmetrics, and climatology, and is designed to help engineers, mathematicians, statisticians, and scientists gain a clearer understanding of extreme value theory and then translate that knowledge into practical applications within their own fields of research. The book provides: A unique focus on modern topics including data analysis and inference Specific data in such areas as wind, flood, chain strength, electrical insulation, fatigue, precipitation, and wave heights Useful techniques for addressing extreme value problems, including discrete, continuous, univariate, and multivariate models Coverage of order statistics, return period, exceedances and shortfalls, along with detailed explanations on how to obtain exact distributions for these statistics An in-depth look at asymptotic models and the limit distributions of maxima, minima, and other order statistics Enhanced with numerous graphs and exercises, plus an extensive bibliography for further study, this text is an important reference source for engineers designing structures that will withstand even the most extreme circumstances.
Author: Sidney I. Resnick
Publisher: Springer
ISBN: 0387759530
Category : Mathematics
Languages : en
Pages : 334
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Book Description
This book examines the fundamental mathematical and stochastic process techniques needed to study the behavior of extreme values of phenomena based on independent and identically distributed random variables and vectors. It emphasizes the core primacy of three topics necessary for understanding extremes: the analytical theory of regularly varying functions; the probabilistic theory of point processes and random measures; and the link to asymptotic distribution approximations provided by the theory of weak convergence of probability measures in metric spaces.
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: J. Galambos
Publisher: Springer Science & Business Media
ISBN: 1461336384
Category : Mathematics
Languages : en
Pages : 526
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Book Description
It appears that we live in an age of disasters: the mighty Missis sippi and Missouri flood millions of acres, earthquakes hit Tokyo and California, airplanes crash due to mechanical failure and the seemingly ever increasing wind speeds make the storms more and more frightening. While all these may seem to be unexpected phenomena to the man on the street, they are actually happening according to well defined rules of science known as extreme value theory. We know that records must be broken in the future, so if a flood design is based on the worst case of the past then we are not really prepared against floods. Materials will fail due to fatigue, so if the body of an aircraft looks fine to the naked eye, it might still suddenly fail if the aircraft has been in operation over an extended period of time. Our theory has by now penetrated the so cial sciences, the medical profession, economics and even astronomy. We believe that our field has come of age. In or~er to fully utilize the great progress in the theory of extremes and its ever increasing acceptance in practice, an international conference was organized in which equal weight was given to theory and practice. This book is Volume I of the Proceedings of this conference. In selecting the papers for Volume lour guide was to have authoritative works with a large variety of coverage of both theory and practice.
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: Maria Jacob
Publisher: Springer Nature
ISBN: 303028669X
Category : Mathematics
Languages : en
Pages : 108
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Book Description
The overarching aim of this open access book is to present self-contained theory and algorithms for investigation and prediction of electric demand peaks. A cross-section of popular demand forecasting algorithms from statistics, machine learning and mathematics is presented, followed by extreme value theory techniques with examples. In order to achieve carbon targets, good forecasts of peaks are essential. For instance, shifting demand or charging battery depends on correct demand predictions in time. Majority of forecasting algorithms historically were focused on average load prediction. In order to model the peaks, methods from extreme value theory are applied. This allows us to study extremes without making any assumption on the central parts of demand distribution and to predict beyond the range of available data. While applied on individual loads, the techniques described in this book can be extended naturally to substations, or to commercial settings. Extreme value theory techniques presented can be also used across other disciplines, for example for predicting heavy rainfalls, wind speed, solar radiation and extreme weather events. The book is intended for students, academics, engineers and professionals that are interested in short term load prediction, energy data analytics, battery control, demand side response and data science in general.
Author: Francois Longin
Publisher: John Wiley & Sons
ISBN: 1118650190
Category : Business & Economics
Languages : en
Pages : 638
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Book Description
A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector Presenting a uniquely accessible guide, Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance and a practical understanding of market behavior including both ordinary and extraordinary conditions. Beginning with a fascinating history of EVTs and financial modeling, the handbook introduces the historical implications that resulted in the applications and then clearly examines the fundamental results of EVT in finance. After dealing with these theoretical results, the handbook focuses on the EVT methods critical for data analysis. Finally, the handbook features the practical applications and techniques and how these can be implemented in financial markets. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications includes: Over 40 contributions from international experts in the areas of finance, statistics, economics, business, insurance, and risk management Topical discussions on univariate and multivariate case extremes as well as regulation in financial markets Extensive references in order to provide readers with resources for further study Discussions on using R packages to compute the value of risk and related quantities The book is a valuable reference for practitioners in financial markets such as financial institutions, investment funds, and corporate treasuries, financial engineers, quantitative analysts, regulators, risk managers, large-scale consultancy groups, and insurers. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications is also a useful textbook for postgraduate courses on the methodology of EVTs in finance.
