Statistical Techniques For Modelling Extreme Value Data And Related Applications

Author : Haroon M. Barakat,Osama M. Khaled,El-Sayed M. Nigm
Publisher : Cambridge Scholars Publishing
Page : 280 pages
File Size : 46,5 Mb
Release : 2019-05-14
Category : Mathematics
ISBN : 9781527534650

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Statistical Techniques for Modelling Extreme Value Data and Related Applications by Haroon M. Barakat,Osama M. Khaled,El-Sayed M. Nigm Pdf

This book tackles some modern trends and methods in the modelling of extreme data. Usually such data arise from random phenomena such as floods, hurricanes, air and water pollutants, extreme claim sizes, life spans, and maximum sizes of ecological populations. It provides the latest statistical methods to model these random phenomena to understand and predict them, thus allowing the avoidance of damage or at least minimizing it. In addition, this book sheds light on the mathematical and statistical theories on which applied modelling methods were built. Therefore, it has both an applied and theoretical orientation, and represents a valuable addition to existing literature on the modelling of extreme value data.

Author : Stuart Coles
Publisher : Springer Science & Business Media
Page : 219 pages
File Size : 53,7 Mb
Release : 2013-11-27
Category : Mathematics
ISBN : 9781447136750

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An Introduction to Statistical Modeling of Extreme Values by Stuart Coles Pdf

Directly oriented towards real practical application, this book develops both the basic theoretical framework of extreme value models and the statistical inferential techniques for using these models in practice. Intended for statisticians and non-statisticians alike, the theoretical treatment is elementary, with heuristics often replacing detailed mathematical proof. Most aspects of extreme modeling techniques are covered, including historical techniques (still widely used) and contemporary techniques based on point process models. A wide range of worked examples, using genuine datasets, illustrate the various modeling procedures and a concluding chapter provides a brief introduction to a number of more advanced topics, including Bayesian inference and spatial extremes. All the computations are carried out using S-PLUS, and the corresponding datasets and functions are available via the Internet for readers to recreate examples for themselves. An essential reference for students and researchers in statistics and disciplines such as engineering, finance and environmental science, this book will also appeal to practitioners looking for practical help in solving real problems. Stuart Coles is Reader in Statistics at the University of Bristol, UK, having previously lectured at the universities of Nottingham and Lancaster. In 1992 he was the first recipient of the Royal Statistical Society's research prize. He has published widely in the statistical literature, principally in the area of extreme value modeling.

Author : Dipak K. Dey,Jun Yan
Publisher : CRC Press
Page : 538 pages
File Size : 51,9 Mb
Release : 2016-01-06
Category : Mathematics
ISBN : 9781498701310

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Extreme Value Modeling and Risk Analysis by Dipak K. Dey,Jun Yan Pdf

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

Author : Jan Beirlant,Yuri Goegebeur,Johan Segers,Jozef L. Teugels
Publisher : John Wiley & Sons
Page : 522 pages
File Size : 50,6 Mb
Release : 2006-03-17
Category : Mathematics
ISBN : 9780470012376

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Statistics of Extremes by Jan Beirlant,Yuri Goegebeur,Johan Segers,Jozef L. Teugels Pdf

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 : Rolf-Dieter Reiss,Michael Thomas
Publisher : Springer Science & Business Media
Page : 511 pages
File Size : 54,8 Mb
Release : 2007-08-08
Category : Mathematics
ISBN : 9783764373993

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Statistical Analysis of Extreme Values by Rolf-Dieter Reiss,Michael Thomas Pdf

Statistical analysis of extreme data is vital to many disciplines including hydrology, insurance, finance, engineering and environmental sciences. This book provides a self-contained introduction to parametric modeling, exploratory analysis and statistical interference for extreme values. For this Third Edition, the entire text has been thoroughly updated and rearranged to meet contemporary requirements, with new sections and chapters address such topics as dependencies, the conditional analysis and the multivariate modeling of extreme data. New chapters include An Overview of Reduced-Bias Estimation; The Spectral Decomposition Methodology; About Tail Independence; and Extreme Value Statistics of Dependent Random Variables.

Author : Rolf-Dieter Reiss
Publisher : Unknown
Page : 0 pages
File Size : 51,8 Mb
Release : 1997
Category : Electronic
ISBN : OCLC:879921776

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Statistical Analysis of Extreme Values by Rolf-Dieter Reiss Pdf

Author : Rolf-Dieter Reiss,Michael Thomas
Publisher : Unknown
Page : 340 pages
File Size : 44,5 Mb
Release : 1997
Category : Mathematics
ISBN : UOM:39015053965557

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Statistical Analysis of Extreme Values by Rolf-Dieter Reiss,Michael Thomas Pdf

Recoge:Modelos y análisis de datos; Inferencia estadística en modelos paramétricos; Elementos de análisis estadístico multivariable;

Author : Paul Embrechts,Claudia Klüppelberg,Thomas Mikosch
Publisher : Springer Science & Business Media
Page : 672 pages
File Size : 42,5 Mb
Release : 2013-01-02
Category : Business & Economics
ISBN : 3540609318

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Modelling Extremal Events by Paul Embrechts,Claudia Klüppelberg,Thomas Mikosch Pdf

"A reader's first impression on leafing through this book is of the large number of graphs and diagrams, used to illustrate shapes of distributions...and to show real data examples in various ways. A closer reading reveals a nice mix of theory and applications, with the copious graphical illustrations alluded to. Such a mixture is of course dear to the heart of the applied probabilist/statistician, and should impress even the most ardent theorists." --MATHEMATICAL REVIEWS

Author : Lee Fawcett,David Walshaw,Keith Newman
Publisher : Wiley
Page : 0 pages
File Size : 44,7 Mb
Release : 2023-10-16
Category : Mathematics
ISBN : 0470746459

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Extreme Values by Lee Fawcett,David Walshaw,Keith Newman Pdf

The statistical analysis of extremes is becoming more and more prevalent as we observe increasing levels of variability and turbulence, both in the natural world, and within social organizations such as commercial and financial institutions. In this book, full coverage is given to the analysis of extreme value data using R, providing the reader with the best starting point for analyzing data when the aim is inference about extreme values of the underlying process. The main topics in extreme value analysis are featured, together with a clear practical guide on how to implement the relevant statistical analysis using R. The book is aimed at those needing to carry out extreme value analyses, examples used will be taken from applications in engineering, reliability studies and in financial analysis where extremes are of interest (e.g. insurance/reinsurance).

Author : Nicolas Bousquet,Pietro Bernardara
Publisher : Springer Nature
Page : 491 pages
File Size : 55,7 Mb
Release : 2021-10-09
Category : Mathematics
ISBN : 9783030749422

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Extreme Value Theory with Applications to Natural Hazards by Nicolas Bousquet,Pietro Bernardara Pdf

This richly illustrated book describes statistical extreme value theory for the quantification of natural hazards, such as strong winds, floods and rainfall, and discusses an interdisciplinary approach to allow the theoretical methods to be applied. The approach consists of a number of steps: data selection and correction, non-stationary theory (to account for trends due to climate change), and selecting appropriate estimation techniques based on both decision-theoretic features (e.g., Bayesian theory), empirical robustness and a valid treatment of uncertainties. It also examines and critically reviews alternative approaches based on stochastic and dynamic numerical models, as well as recently emerging data analysis issues and presents large-scale, multidisciplinary, state-of-the-art case studies. Intended for all those with a basic knowledge of statistical methods interested in the quantification of natural hazards, the book is also a valuable resource for engineers conducting risk analyses in collaboration with scientists from other fields (such as hydrologists, meteorologists, climatologists).

Author : Samuel Kotz,Saralees Nadarajah
Publisher : World Scientific
Page : 195 pages
File Size : 50,9 Mb
Release : 2000
Category : Mathematics
ISBN : 9781860942242

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Extreme Value Distributions by Samuel Kotz,Saralees Nadarajah Pdf

This important book provides an up-to-date comprehensive and down-to-earth survey of the theory and practice of extreme value distributions ? one of the most prominent success stories of modern applied probability and statistics. Originated by E J Gumbel in the early forties as a tool for predicting floods, extreme value distributions evolved during the last 50 years into a coherent theory with applications in practically all fields of human endeavor where maximal or minimal values (the so-called extremes) are of relevance. The book is of usefulness both for a beginner with a limited probabilistic background and to expert in the field.

Author : Enrique Castillo,Ali S. Hadi,Narayanaswamy Balakrishnan,Jose M. Sarabia
Publisher : Wiley-Interscience
Page : 0 pages
File Size : 44,8 Mb
Release : 2004-11-04
Category : Mathematics
ISBN : 047167172X

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Extreme Value and Related Models with Applications in Engineering and Science by Enrique Castillo,Ali S. Hadi,Narayanaswamy Balakrishnan,Jose M. Sarabia Pdf

A straightforward, practical guide to extreme value modeling for today's world Measuring and interpreting data for extreme values presents a unique and important challenge that has far-reaching implications for all aspects of modern engineering and science. Extreme Value and Related Models with Applications in Engineering and Science reflects the latest information in this growing field. The book incorporates illuminating real-world examples from such areas as structural engineering, hydraulics, meteorology, materials science, highway traffic analysis, environmetrics, and climatology, and is designed to help engineers, mathematicians, statisticians, and scientists gain a clearer understanding of extreme value theory and then translate that knowledge into practical applications within their own fields of research. The book provides: A unique focus on modern topics including data analysis and inference Specific data in such areas as wind, flood, chain strength, electrical insulation, fatigue, precipitation, and wave heights Useful techniques for addressing extreme value problems, including discrete, continuous, univariate, and multivariate models Coverage of order statistics, return period, exceedances and shortfalls, along with detailed explanations on how to obtain exact distributions for these statistics An in-depth look at asymptotic models and the limit distributions of maxima, minima, and other order statistics Enhanced with numerous graphs and exercises, plus an extensive bibliography for further study, this text is an important reference source for engineers designing structures that will withstand even the most extreme circumstances.

Author : Harry Joe,Dorota Kurowicka
Publisher : World Scientific
Page : 370 pages
File Size : 53,5 Mb
Release : 2011
Category : Business & Economics
ISBN : 9789814299886

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Dependence Modeling by Harry Joe,Dorota Kurowicka Pdf

1. Introduction : Dependence modeling / D. Kurowicka -- 2. Multivariate copulae / M. Fischer -- 3. Vines arise / R.M. Cooke, H. Joe and K. Aas -- 4. Sampling count variables with specified Pearson correlation : A comparison between a naive and a C-vine sampling approach / V. Erhardt and C. Czado -- 5. Micro correlations and tail dependence / R.M. Cooke, C. Kousky and H. Joe -- 6. The Copula information criterion and Its implications for the maximum pseudo-likelihood estimator / S. Gronneberg -- 7. Dependence comparisons of vine copulae with four or more variables / H. Joe -- 8. Tail dependence in vine copulae / H. Joe -- 9. Counting vines / O. Morales-Napoles -- 10. Regular vines : Generation algorithm and number of equivalence classes / H. Joe, R.M. Cooke and D. Kurowicka -- 11. Optimal truncation of vines / D. Kurowicka -- 12. Bayesian inference for D-vines : Estimation and model selection / C. Czado and A. Min -- 13. Analysis of Australian electricity loads using joint Bayesian inference of D-vines with autoregressive margins / C. Czado, F. Gartner and A. Min -- 14. Non-parametric Bayesian belief nets versus vines / A. Hanea -- 15. Modeling dependence between financial returns using pair-copula constructions / K. Aas and D. Berg -- 16. Dynamic D-vine model / A. Heinen and A. Valdesogo -- 17. Summary and future directions / D. Kurowicka

Author : Robert Adler,Raya Feldman,Murad Taqqu
Publisher : Springer Science & Business Media
Page : 560 pages
File Size : 45,5 Mb
Release : 1998-10-26
Category : Mathematics
ISBN : 0817639519

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A Practical Guide to Heavy Tails by Robert Adler,Raya Feldman,Murad Taqqu Pdf

Twenty-four contributions, intended for a wide audience from various disciplines, cover a variety of applications of heavy-tailed modeling involving telecommunications, the Web, insurance, and finance. Along with discussion of specific applications are several papers devoted to time series analysis, regression, classical signal/noise detection problems, and the general structure of stable processes, viewed from a modeling standpoint. Emphasis is placed on developments in handling the numerical problems associated with stable distribution (a main technical difficulty until recently). No index. Annotation copyrighted by Book News, Inc., Portland, OR

Author : Enrique Castillo
Publisher : Elsevier
Page : 406 pages
File Size : 49,6 Mb
Release : 2012-12-02
Category : Mathematics
ISBN : 9780080917252

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Extreme Value Theory in Engineering by Enrique Castillo Pdf

This book is a comprehensive guide to extreme value theory in engineering. Written for the end user with intermediate and advanced statistical knowledge, it covers classical methods as well as recent advances. A collection of 150 examples illustrates the theoretical results and takes the reader from simple applications through complex cases of dependence.