Statistical Analysis of Extreme Values: From Insurance, Finance, Hydrology, and Other Fields
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. Includes statistical applications on CD-ROM.
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applied asymptotic bandwidth Bayes estimate beta binomial bivariate claim sizes cluster coefficient compute curve DEMO dialog box example exceedance df extreme value analysis extreme value theory fitted flood Frechet g-quantile gamma density gamma distribution Gaussian given Gompertz GP df GP distribution GP model Gumbel df Hill estimator histogram iid random variables initial reserve kernel density least squares likelihood function location and scale log-returns margins maxima maximum mean excess function minima MLE(GP mouse mode multivariate nonparametric normal df obtains option parametric estimation parametric model Pareto df Pareto distribution Pareto GP Pareto model pertaining plot window PML group Poisson distribution Poisson process portfolio premium procedures Q-Q plot quantile sample df sample mean scale parameters scatterplot Section shape simulate standard survivor function T-year return level threshold Univariate Data upper tail variance vector Visualize Weibull dfs Xtremes zero
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An Introduction to Statistical Modeling of Extreme Values
Limited preview - 2001