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 of extreme values in the areas of finance, insurance, the environment, and telecommunications. The comprehensive introductory chapter by Richard Smith ensures a high level of cohesion for this volume.
Extreme Values in Finance, Telecommunications, and the En...
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Inside This Book
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First Sentence:
Extreme value theory is concerned with probabilistic and statistical questions related to very high or very low values in sequences of random variables and in stochastic processes. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
multivariate extreme events, multivariate regular variation, annual maximum distribution, stochastic volatility case, tail dependence parameter, multivariate extreme value distributions, multivariate extreme value theory, extremal index, componentwise maxima, regular variation condition, annual maximum data, mean excess plot, joint exceedances, extremal dependence, mean excess function, stochastic recurrence equation, extremal behavior, upper order statistics, cumulative traffic, asymptotic confidence bands, multivariate extremes, extreme value models, point process approach, stochastic volatility process, volatility sequence Key Phrases - Capitalized Phrases (CAPs): (learn more)
New York, Monte Carlo, North Carolina, Cambridge University Press, Tiago de Oliveira, Boca Raton, Basel Committee, Econometric Theory, River Nidd, Springer Verlag, Chapel Hill, Department of Mathematics, Lag Lag Figure, Applied Statistics, Department of Statistics, Multivariate Anal, Standard Variable Coefficient, Statistical Science, The Dekkers, Academic Press, Boston University, Computer Communications Review, Date Figure, Florham Park, General Electric New!
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Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Extreme value theory is concerned with probabilistic and statistical questions related to very high or very low values in sequences of random variables and in stochastic processes. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
multivariate extreme events, multivariate regular variation, annual maximum distribution, stochastic volatility case, tail dependence parameter, multivariate extreme value distributions, multivariate extreme value theory, extremal index, componentwise maxima, regular variation condition, annual maximum data, mean excess plot, joint exceedances, extremal dependence, mean excess function, stochastic recurrence equation, extremal behavior, upper order statistics, cumulative traffic, asymptotic confidence bands, multivariate extremes, extreme value models, point process approach, stochastic volatility process, volatility sequence Key Phrases - Capitalized Phrases (CAPs): (learn more)
New York, Monte Carlo, North Carolina, Cambridge University Press, Tiago de Oliveira, Boca Raton, Basel Committee, Econometric Theory, River Nidd, Springer Verlag, Chapel Hill, Department of Mathematics, Lag Lag Figure, Applied Statistics, Department of Statistics, Multivariate Anal, Standard Variable Coefficient, Statistical Science, The Dekkers, Academic Press, Boston University, Computer Communications Review, Date Figure, Florham Park, General Electric New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 100
books:
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cites this book:
- Extreme Values (Monographs on Statistics and Probability) by R. L. Smith on 6 pages
- Modelling Extremal Events: for Insurance and Finance (Stochastic Modelling and Applied Probability) by Paul Embrechts on 4 pages
- Regular Variation (Encyclopedia of Mathematics and its Applications) by N. H. Bingham on page 164, page 278, and page 360
- Extremes and Integrated Risk Management by Paul (ed) Embrechts on page 78, page 165, and page 284
- An Introduction to Probability Theory and Its Applications, Vol. 1, 3rd Edition by William Feller on page 77, page 281, and page 364
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