Extreme value theory: an introduction/
Laurens de Haan and Ana Ferreira
- New York: Springer, 2006.
- xvi, 417 p. : ill. ; 24 cm.
- (Springer series in operations research) .
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 -- 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 in C[0,1] -- Estimation in C[0,1] -- Appendix A: Skorohod Theorem and Vervaat's Lemma -- B. Regular Variation and Extensions.
9780387239460
Extreme value theory Mathematical statistics Mathematics