Extreme Value Theory

An Introduction

  • Laurens de Haan
  • Ana Ferreira
Part of the Springer Series in Operations Research and Financial Engineering book series (ORFE)

Table of contents

  1. Front Matter
    Pages i-xvii
  2. One-Dimensional Observations

  3. Finite-Dimensional Observations

    1. Front Matter
      Pages 205-205
    2. Pages 207-233
  4. Observations That Are Stochastic Processes

    1. Front Matter
      Pages 291-291
    2. Pages 293-329
    3. Pages 331-353
  5. Back Matter
    Pages 356-417

About this book

Introduction

Extreme Value Theory offers a careful, coherent exposition of the subject starting from the probabilistic and mathematical foundations and proceeding to the statistical theory. The book covers both the classical one-dimensional case as well as finite- and infinite-dimensional settings. All the main topics at the heart of the subject are introduced in a systematic fashion so that in the final chapter even the most recent developments in the theory can be understood. The treatment is geared toward applications.

The presentation concentrates on the probabilistic and statistical aspects of extreme values such as limiting results, domains of attraction and development of estimators without emphasizing related topics such as point processes, empirical distribution functions and Brownian motion. An appendix on regular variation has been added since some required results in that area are not available in book form. The usefulness of the statistical theory is shown by treating several case studies in detail.

The book is a thorough, accessible, self-contained, graduate level treatment of modern extreme value theory and some of its applications. It is aimed at graduate students and researchers and requires only maturity in mathematics and statistics.

Keywords

Brownian motion Estimator Excel Stochastic processes point process statistics stochastic process

Authors and affiliations

  • Laurens de Haan
    • 1
  • Ana Ferreira
    • 2
  1. 1.School of EconomicsErasmus UniversityRotterdamThe Netherlands
  2. 2.Departamento de MatemáticaInstituto Superior de AgronomiaLisboaPortugal

Bibliographic information

  • DOI https://doi.org/10.1007/0-387-34471-3
  • Copyright Information Springer Science+Business Media, LLC 2006
  • Publisher Name Springer, New York, NY
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-0-387-23946-0
  • Online ISBN 978-0-387-34471-3
  • Series Print ISSN 1431-8598
  • About this book