我有一个家 2007-12-25 13:46
Statistical Analysis of Extreme Values
Statistical Analysis of Extreme Values-with Applications to Insurance, Finance, Hydrology and Other Fields
3rd, revised and extended edition of the Birkh?user bestseller for many years,
by R.-D. Reiss and M. Thomas, University of Siegen,
published in Birkh?user, June 2007.
Contents
-------------------------
Preface to the Third Edition
Preface to the Second Edition
Preface to the First Edition
List of Special Symbols
I Modeling and Data Analysis
1 Parametric Modeling
2 DiagnosticTools
II Statistical Inference in Parametric Models
3 An Introduction to Parametric Inference
4 Extreme Value Models
5 Generalized Pareto Models
6 Advanced Statistical Analysis
7 Statistics of Dependent Variables
8 Conditional Extremal Analysis
9 Statistical Models for Exceedance Processes
III Elements of Multivariate Statistical Analysis
10 BasicMultivariateConceptsandVisualization
11 Elliptical and Related Distributions
12 Multivariate Maxima
13 Multivariate Peaks OverT hreshold
IV Topics in Hydrology and Environmental Sciences
14 Flood Frequency Analysis
15 Environmental Sciences
16 Extreme Returns in Asset Prices
17 The Impact of Large Claimson Actuarial Decisions
VI Topics in Material and Life Sciences
18 Material Sciences
19 Life Science
Appendix:First Steps towards Xtremes and Stat Pascal
A The Menu System
B The Stat Pascal Programming Language
Author Index
Subject Index
Bibliography
oliyiyi 2007-12-30 07:36
By Rolf-Dieter Reiss, Michael Thomas,
* Publisher: Birkhäuser Basel
* Number Of Pages: 511
* Publication Date: 2007-07-06
* Sales Rank: 1113302
* ISBN / ASIN: 3764372303
* EAN: 9783764372309
* Binding: Paperback
* Manufacturer: Birkhäuser Basel
* Studio: Birkhäuser Basel
* Average Rating: 4
* Total Reviews: 2
Book Description:
The statistical analysis of extreme data is important for various disciplines, including hydrology, insurance, finance, engineering and environmental sciences. This book provides a self-contained introduction to the parametric modeling, exploratory analysis and statistical interference for extreme values.
The entire text of this third edition has been thoroughly updated and rearranged to meet the new requirements. Additional sections and chapters, elaborated on more than 100 pages, are particularly concerned with topics like dependencies, the conditional analysis and the multivariate modeling of extreme data. Parts I–III about the basic extreme value methodology remain unchanged to some larger extent, yet notable are, e.g., the new sections about "An Overview of Reduced-Bias Estimation" (co-authored by M.I. Gomes), "The Spectral Decomposition Methodology", and "About Tail Independence" (co-authored by M. Frick), and the new chapter about "Extreme Value Statistics of Dependent Random Variables" (co-authored by H. Drees). Other new topics, e.g., a chapter about "Environmental Sciences", (co--authored by R.W. Katz), are collected within Parts IV–VI.
Date: 2001-09-20 Rating: 3
Review:
Lack of practical insight
Although the treatment of many extreme values distributions is rather complete at a theoretical point of view, very few practical considerations with respect to the actual way one should use these various EV models is provided. Unless you already know which class of EV distribution to use in your case, this book will not serve much. An overly important aspect of fitting distributions concerns the family of distribution to use for fitting a particular data, and here i haven't found much insight about practical considerations in this book. This is an important gap in this book because it is due to be practical.
On the other hand, the estimation of particular EV distributions is thoroughly covered, with theoretical (many references) and practical issues (for the estimation only) well described in every section.
Another negative point concerns the distribution of XTREMES provided with the book which is far from complete, and with bugs (changing on-line the values of the parameters of some distributions makes it crash...). I consider this book as a theoretically extended version of the manual of XTREMES, but not a self-sontained statistical book.
In summary, if you are interested in a very specific EV family, then this book can be useful, but not as a textbook. Rather go to Castillo (EV in engineering) for a good textbook on EV distributions.
Date: 2000-08-07 Rating: 5
Review:
Brilliant book!
Especially it is very interesting and advantageous in parts of EVT applicacation in Insurance and Finance!
