Applied Extreme Value Statistics

With a Special Focus on the ACER Method

Inbunden, Engelska, 2024

AvArvid Naess

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This book does not focus solely on asymptotic extreme value distributions. It also has straightforward extensions to multivariate extreme value distributions. The first half provides an introduction to extreme value statistics with an emphasis on applications.

Produktinformation

Utgivningsdatum2024-06-14
Mått155 x 235 x 21 mm
Vikt594 g
FormatInbunden
SpråkEngelska
Antal sidor268
Upplaga2024
FörlagSpringer International Publishing AG
ISBN9783031607684

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Arvid Naess is Professor of Statistics at the Norwegian University of Science and Technology in Trondheim, Norway. Over many years he has worked on a wide range of problems related to the application of probability and statistics in science and engineering. He is a recipient of the Alfred M. Freudenthal Medal from ASCE, and a Fellow of ASCE, ASME, EMI. He is an elected member of The Royal Norwegian Society (DKNVS) and The Norwegian Academy of Technological Sciences (NTVA).

- Challenges of Applied Extreme Value Statistics.- Classical Extreme Value Theory.- The Peaks-Over-Threshold Method.- A Point Process Approach to Extreme Value Statistics.- The ACER Method.- Some Practical Aspects of Extreme Value Analyses.- Estimation of Extreme Values for Financial Risk Assessment.- The Upcrossing Rate via the Characteristic Function.- Monte Carlo Methods and Extreme Value Estimation.- Bivariate Extreme Value Distributions.- Space-Time Extremes of Random Fields.- A Case Study - Extreme Water Levels.