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Author : Michael Falk
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (23 download)
Download or read book On the Rate of Convergence in Bivariate Extreme Value Models written by Michael Falk and published by . This book was released on 2001 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Laurentius Franciscus Maria Haan
Publisher :
ISBN 13 :
Total Pages : 17 pages
Book Rating : 4.:/5 (692 download)
Download or read book Rate of Convergence for Bivariate Extremes (total Variation Metric) written by Laurentius Franciscus Maria Haan and published by . This book was released on 1994 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : L. de Haan
Publisher :
ISBN 13 :
Total Pages : 17 pages
Book Rating : 4.:/5 (535 download)
Download or read book Rate of Convergence for Bivariate Extremes written by L. de Haan and published by . This book was released on 1994 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Laurentius Franciscus Maria Haan
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (692 download)
Download or read book Rate of Convergence for Bivariate Extremes (total Variation Metric) written by Laurentius Franciscus Maria Haan and published by . This book was released on 1994 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jan Beirlant
Publisher : John Wiley & Sons
ISBN 13 : 0470012374
Total Pages : 522 pages
Book Rating : 4.4/5 (7 download)
Download or read book Statistics of Extremes written by Jan Beirlant and published by John Wiley & Sons. This book was released on 2006-03-17 with total page 522 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : D N Shanbhag
Publisher : Gulf Professional Publishing
ISBN 13 : 9780444500137
Total Pages : 1028 pages
Book Rating : 4.5/5 (1 download)
Download or read book Stochastic Processes: Modeling and Simulation written by D N Shanbhag and published by Gulf Professional Publishing. This book was released on 2003-02-24 with total page 1028 pages. Available in PDF, EPUB and Kindle. Book excerpt: This sequel to volume 19 of Handbook on Statistics on Stochastic Processes: Modelling and Simulation is concerned mainly with the theme of reviewing and, in some cases, unifying with new ideas the different lines of research and developments in stochastic processes of applied flavour. This volume consists of 23 chapters addressing various topics in stochastic processes. These include, among others, those on manufacturing systems, random graphs, reliability, epidemic modelling, self-similar processes, empirical processes, time series models, extreme value therapy, applications of Markov chains, modelling with Monte Carlo techniques, and stochastic processes in subjects such as engineering, telecommunications, biology, astronomy and chemistry. particular with modelling, simulation techniques and numerical methods concerned with stochastic processes. The scope of the project involving this volume as well as volume 19 is already clarified in the preface of volume 19. The present volume completes the aim of the project and should serve as an aid to students, teachers, researchers and practitioners interested in applied stochastic processes.
Author : Alessandra Cipriani
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (961 download)
Download or read book Rates of Convergence for Extremes of Geometric Random Variables and Marked Point Processes written by Alessandra Cipriani and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We use the Stein-Chen method to study the extremal behaviour of univariate and bivariate geometric laws. We obtain a rate for the convergence, to the Gumbel distribution, of the law of the maximum of i.i.d. geometric random variables, and show that convergence is faster when approximating by a discretised Gumbel. We similarly find a rate of convergence for the law of maxima of bivariate Marshall-Olkin geometric random pairs when approximating by a discrete limit law. We introduce marked point processes of exceedances (MPPEs), both with univariate and bivariate Marshall-Olkin geometric variables as marks and determine bounds on the error of the approximation, in an appropriate probability metric, of the law of the MPPE by that of a Poisson process with same mean measure. We then approximate by another Poisson process with an easier-to-use mean measure and estimate the error of this additional approximation. This work contains and extends results contained in the second author's PhD thesis under the supervision of Andrew D. Barbour. The thesis is available at http://arxiv.org/abs/ 1310.2564.
Author : Sidney I. Resnick
Publisher : Springer
ISBN 13 : 0387759530
Total Pages : 334 pages
Book Rating : 4.3/5 (877 download)
Download or read book Extreme Values, Regular Variation and Point Processes written by Sidney I. Resnick and published by Springer. This book was released on 2013-12-20 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : A. A. Balkema
Publisher :
ISBN 13 :
Total Pages : 13 pages
Book Rating : 4.:/5 (714 download)
Download or read book A Convergence Rate in Extreme-value Theory written by A. A. Balkema and published by . This book was released on 1988 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michael Falk
Publisher : Springer Science & Business Media
ISBN 13 : 3034800096
Total Pages : 513 pages
Book Rating : 4.0/5 (348 download)
Download or read book Laws of Small Numbers: Extremes and Rare Events written by Michael Falk and published by Springer Science & Business Media. This book was released on 2010-10-07 with total page 513 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the publication of the first edition of this seminar book in 1994, the theory and applications of extremes and rare events have enjoyed an enormous and still increasing interest. The intention of the book is to give a mathematically oriented development of the theory of rare events underlying various applications. This characteristic of the book was strengthened in the second edition by incorporating various new results. In this third edition, the dramatic change of focus of extreme value theory has been taken into account: from concentrating on maxima of observations it has shifted to large observations, defined as exceedances over high thresholds. One emphasis of the present third edition lies on multivariate generalized Pareto distributions, their representations, properties such as their peaks-over-threshold stability, simulation, testing and estimation. Reviews of the 2nd edition: "In brief, it is clear that this will surely be a valuable resource for anyone involved in, or seeking to master, the more mathematical features of this field." David Stirzaker, Bulletin of the London Mathematical Society "Laws of Small Numbers can be highly recommended to everyone who is looking for a smooth introduction to Poisson approximations in EVT and other fields of probability theory and statistics. In particular, it offers an interesting view on multivariate EVT and on EVT for non-iid observations, which is not presented in a similar way in any other textbook." Holger Drees, Metrika
Author : Barbel Finkenstadt
Publisher : CRC Press
ISBN 13 : 0203483359
Total Pages : 422 pages
Book Rating : 4.2/5 (34 download)
Download or read book Extreme Values in Finance, Telecommunications, and the Environment written by Barbel Finkenstadt and published by CRC Press. This book was released on 2003-07-28 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Michael Falk
Publisher : Springer Science & Business Media
ISBN 13 : 9783764324162
Total Pages : 396 pages
Book Rating : 4.3/5 (241 download)
Download or read book Laws Of Small Numbers written by Michael Falk and published by Springer Science & Business Media. This book was released on 2004 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the publication of the first edition of this seminar book in 1994, the theory and applications of extremes and rare events have enjoyed an enormous and still increasing interest. The intention of the book is to give a mathematically oriented development of the theory of rare events underlying various applications. This characteristic of the book was strengthened in the second edition by incorporating various new results on about 130 additional pages. Part II, which has been added in the second edition, discusses recent developments in multivariate extreme value theory. Particularly notable is a new spectral decomposition of multivariate distributions in univariate ones which makes multivariate questions more accessible in theory and practice. One of the most innovative and fruitful topics during the last decades was the introduction of generalized Pareto distributions in the univariate extreme value theory. Such a statistical modelling of extremes is now systematically developed in the multivariate framework.
Author : J. Tiago de Oliveira
Publisher : Springer Science & Business Media
ISBN 13 : 9401730695
Total Pages : 690 pages
Book Rating : 4.4/5 (17 download)
Download or read book Statistical Extremes and Applications written by J. Tiago de Oliveira and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 690 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first references to statistical extremes may perhaps be found in the Genesis (The Bible, vol. I): the largest age of Methu'selah and the concrete applications faced by Noah-- the long rain, the large flood, the structural safety of the ark --. But as the pre-history of the area can be considered to last to the first quarter of our century, we can say that Statistical Extremes emer ged in the last half-century. It began with the paper by Dodd in 1923, followed quickly by the papers of Fre-chet in 1927 and Fisher and Tippett in 1928, after by the papers by de Finetti in 1932, by Gumbel in 1935 and by von Mises in 1936, to cite the more relevant; the first complete frame in what regards probabilistic problems is due to Gnedenko in 1943. And by that time Extremes begin to explode not only in what regards applications (floods, breaking strength of materials, gusts of wind, etc. ) but also in areas going from Proba bility to Stochastic Processes, from Multivariate Structures to Statistical Decision. The history, after the first essential steps, can't be written in few pages: the narrow and shallow stream gained momentum and is now a huge river, enlarging at every moment and flooding the margins. Statistical Extremes is, thus, a clear-cut field of Probability and Statistics and a new exploding area for research.
Author : Laurens F. M. de Haan
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (753 download)
Download or read book Second Order Regular Variation Ans Rates of Convergence in Extreme Value Theory written by Laurens F. M. de Haan and published by . This book was released on 1995 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mengxi Yi
Publisher : Springer Nature
ISBN 13 : 3031226879
Total Pages : 500 pages
Book Rating : 4.0/5 (312 download)
Download or read book Robust and Multivariate Statistical Methods written by Mengxi Yi and published by Springer Nature. This book was released on 2023-04-19 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents recent developments in multivariate and robust statistical methods. Featuring contributions by leading experts in the field it covers various topics, including multivariate and high-dimensional methods, time series, graphical models, robust estimation, supervised learning and normal extremes. It will appeal to statistics and data science researchers, PhD students and practitioners who are interested in modern multivariate and robust statistics. The book is dedicated to David E. Tyler on the occasion of his pending retirement and also includes a review contribution on the popular Tyler’s shape matrix.
Author : J. Galambos
Publisher : Springer Science & Business Media
ISBN 13 : 1461336384
Total Pages : 526 pages
Book Rating : 4.4/5 (613 download)
Download or read book Extreme Value Theory and Applications written by J. Galambos and published by Springer Science & Business Media. This book was released on 2013-12-01 with total page 526 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Dipak K. Dey
Publisher : CRC Press
ISBN 13 : 1498701310
Total Pages : 538 pages
Book Rating : 4.4/5 (987 download)
Download or read book Extreme Value Modeling and Risk Analysis written by Dipak K. Dey and published by CRC Press. This book was released on 2016-01-06 with total page 538 pages. Available in PDF, EPUB and Kindle. Book excerpt: Extreme Value Modeling and Risk Analysis: Methods and Applications presents a broad overview of statistical modeling of extreme events along with the most recent methodologies and various applications. The book brings together background material and advanced topics, eliminating the need to sort through the massive amount of literature on the subje
