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Extreme value modeling and risk analysis : methods and applications / edited by Dipak K. Dey, University of Connecticut, Storrs, USA; Jun Yan, University of Connecticut, Storrs, USA.

Contributor(s): Dey, Dipak [editor.] | Yan, Jun, 1948- [editor.].
Material type: materialTypeLabelBookPublisher: Boca Raton : CRC Press, [2016]Copyright date: ©2016Description: 1 online resource.Content type: text Media type: computer Carrier type: online resourceISBN: 9780429161193.Subject(s): Extreme value theory | Mathematical statistics | Risk assessmentAdditional physical formats: Print version: : No titleDDC classification: 519.24 Online resources: Click here to view.
Contents:
1. Univariate extreme value analysis / Dipak Dey, Dooti Roy, and Jun Yan -- 2. Multivariate extreme value analysis / Dipak Dey, Yujing Jiang, and Jun Yan -- 3. Univariate extreme value mixture modeling / Carl Scarrott -- 4. Threshold selection in extreme value analysis / Frederico Caeiro and M. Ivette Gomes -- 5. Threshold modeling of nonstationary extremes / Paul J. Northrop, Philip Jonathan, and David Randell -- 6. Block-maxima of vines / Matthias Killiches and Claudia Czado -- 7. Time series of extremes / Brian J. Reich and Benjamin A. Shaby -- 8. Max-autoregressive and moving maxima models for extremes / Zhengjun Zhang, Liang Peng, and Timothy Idowu -- 9. Spatial extremes and max-stable processes / Mathieu Ribatet, Cle´ment Dombry, and Marco Oesting -- 10. Simulation of max-stable processes / Marco Oesting, Mathieu Ribatet, and Cle´ment Dombry -- 11. Conditional simulation of max-stable processes / Cle´ment Dombry, Marco Oesting, and Mathieu Ribatet -- 12. Composite likelihood for extreme values / Huiyan Sang -- 13. Bayesian inference for extreme value modelling / Alec Stephenson -- 14. Modelling extremes using approximate Bayesian computation / Robert Erhardt and Scott A. Sisson -- 15. Estimation of extreme conditional quantiles / Huixia Judy Wang and Deyuan Li -- 16. Extreme dependence models / Boris Beranger and Simone Padoan -- 17. Nonparametric estimation of extremal dependence / Anna Kiriliouk, Johan Segers, and Michael Warchoel -- 18. An overview of nonparametric tests of extreme-value dependence and of some related statistical procedures / Axel Bu¨cher and Ivan Kojadinovic -- 19. Extreme risks of financial investments / Ye Liu and Jonathan A. Tawn -- 20. Interplay of insurance and financial risks with bivariate regular variation / Qihe Tang and Zhongyi Yuan -- 21. Weather and climate disasters / Richard W. Katz -- 22. The analysis of safety data from clinical trials / Ioannis Papastathopoulos and Harry Southworth -- 23. Analysis of bivariate survival data based on copulas with log-generalized extreme value marginals / Dooti Roy, Vivekananda Roy, and Dipak Dey -- 24. Change point analysis of top batting average / Sy Han Chiou, Sangwook Kang, and Jun Yan -- 25. Computing software / Eric Gilleland.
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A Chapman and Hall book.

1. Univariate extreme value analysis / Dipak Dey, Dooti Roy, and Jun Yan -- 2. Multivariate extreme value analysis / Dipak Dey, Yujing Jiang, and Jun Yan -- 3. Univariate extreme value mixture modeling / Carl Scarrott -- 4. Threshold selection in extreme value analysis / Frederico Caeiro and M. Ivette Gomes -- 5. Threshold modeling of nonstationary extremes / Paul J. Northrop, Philip Jonathan, and David Randell -- 6. Block-maxima of vines / Matthias Killiches and Claudia Czado -- 7. Time series of extremes / Brian J. Reich and Benjamin A. Shaby -- 8. Max-autoregressive and moving maxima models for extremes / Zhengjun Zhang, Liang Peng, and Timothy Idowu -- 9. Spatial extremes and max-stable processes / Mathieu Ribatet, Cle´ment Dombry, and Marco Oesting -- 10. Simulation of max-stable processes / Marco Oesting, Mathieu Ribatet, and Cle´ment Dombry -- 11. Conditional simulation of max-stable processes / Cle´ment Dombry, Marco Oesting, and Mathieu Ribatet -- 12. Composite likelihood for extreme values / Huiyan Sang -- 13. Bayesian inference for extreme value modelling / Alec Stephenson -- 14. Modelling extremes using approximate Bayesian computation / Robert Erhardt and Scott A. Sisson -- 15. Estimation of extreme conditional quantiles / Huixia Judy Wang and Deyuan Li -- 16. Extreme dependence models / Boris Beranger and Simone Padoan -- 17. Nonparametric estimation of extremal dependence / Anna Kiriliouk, Johan Segers, and Michael Warchoel -- 18. An overview of nonparametric tests of extreme-value dependence and of some related statistical procedures / Axel Bu¨cher and Ivan Kojadinovic -- 19. Extreme risks of financial investments / Ye Liu and Jonathan A. Tawn -- 20. Interplay of insurance and financial risks with bivariate regular variation / Qihe Tang and Zhongyi Yuan -- 21. Weather and climate disasters / Richard W. Katz -- 22. The analysis of safety data from clinical trials / Ioannis Papastathopoulos and Harry Southworth -- 23. Analysis of bivariate survival data based on copulas with log-generalized extreme value marginals / Dooti Roy, Vivekananda Roy, and Dipak Dey -- 24. Change point analysis of top batting average / Sy Han Chiou, Sangwook Kang, and Jun Yan -- 25. Computing software / Eric Gilleland.

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