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Extreme Value Theory: An Introduction

Laurens de Haan and Ana Ferreira
Publisher: 
Springer Verlag
Publication Date: 
2006
Number of Pages: 
417
Format: 
Hardcover
Series: 
Springer Series in Operations Research and Financial Engineering
Price: 
59.95
ISBN: 
0387239464
Category: 
Monograph
We do not plan to review this book.

 Preface.- Part I: One-Dimensional Observations.- Limit Distributions and Domains of Attraction.- Extreme and Intermediate Order Statistics.- Estimation of the Extreme Value Index and Testing.- Extreme Quantile and Tail Estimation.- More Advanced Topics.- Part II: Finite-Dimensional Observations.- Basic Theory.- Estimating the Dependence Structure.- Estimation of the Probability of a Failure Set.- Part III: Observations that are Stochastic Processes.- Basic Theory.- Examples.- Estimation.- Appendix A: Regular Variation (proofs).

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