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Statistical Analysis of Extreme Values

with Applications to Insurance, Finance, Hydrology and Other Fields

  • Rolf-Dieter Reiss
  • Michael Thomas

Table of contents

  1. Front Matter
    Pages i-xviii
  2. Modeling and Data Analysis

    1. Front Matter
      Pages 1-1
    2. Pages 3-38
    3. Pages 39-80
  3. Statistical Inference in Parametric Models

  4. Elements of Multivariate Statistical Analysis

  5. Topics in Hydrology and Environmental Sciences

    1. Front Matter
      Pages 335-335
    2. Pages 337-351
    3. Pages 353-367
  6. Topics in Finance and Insurance

    1. Front Matter
      Pages 369-369
  7. Topics in Material and Life Sciences

    1. Front Matter
      Pages 439-439
    2. Pages 441-451
    3. Pages 453-463
  8. Back Matter
    Pages 465-511

About this book

Introduction

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.

Keywords

Analysis Maxima Random variable Statistical Analysis Statistical Models data analysis modeling statistics visualization

Authors and affiliations

  • Rolf-Dieter Reiss
    • 1
  • Michael Thomas
    • 1
  1. 1.FB MathematikUniversität SiegenSiegenGermany

Bibliographic information

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