Extreme Value Modeling and Risk Analysis: Methods and Applications

Dipak K. Dey, Jun Yan

December 21, 2015 by Chapman and Hall/CRC
Reference - 520 Pages - 92 B/W Illustrations
ISBN 9781498701297 - CAT# K24558

USD$119.95

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Features

  • Presents the conceptual background necessary for non-experts to understand and apply the approaches to their own problems
  • Covers advanced topics, such as multivariate extremes and extreme dependence
  • Brings together experts from the statistical sciences, applied mathematics, decision analysis, and operations research communities
  • Reviews computing software for extreme value analysis
  • Provides computer code on the editors’ website to facilitate a practical understanding of the topics and enable readers to use the code with their own problems

Summary

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 subject.

After reviewing univariate extreme value analysis and multivariate extremes, the book explains univariate extreme value mixture modeling, threshold selection in extreme value analysis, and threshold modeling of non-stationary extremes. It presents new results for block-maxima of vine copulas, develops time series of extremes with applications from climatology, describes max-autoregressive and moving maxima models for extremes, and discusses spatial extremes and max-stable processes. The book then covers simulation and conditional simulation of max-stable processes; inference methodologies, such as composite likelihood, Bayesian inference, and approximate Bayesian computation; and inferences about extreme quantiles and extreme dependence. It also explores novel applications of extreme value modeling, including financial investments, insurance and financial risk management, weather and climate disasters, clinical trials, and sports statistics.

Risk analyses related to extreme events require the combined expertise of statisticians and domain experts in climatology, hydrology, finance, insurance, sports, and other fields. This book connects statistical/mathematical research with critical decision and risk assessment/management applications to stimulate more collaboration between these statisticians and specialists.