Overview
- Second, revised and extended edition of a volume in the book series of Seminars of the DMV
- Particular new emphasis on multivariate extreme value theory
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Table of contents (12 chapters)
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Front Matter
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The IID Case: Functional Laws of Small Numbers
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Front Matter
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The IID Case: Multivariate Extremes
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Front Matter
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Non IID Observations
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Front Matter
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Back Matter
Keywords
About this book
Since the publication of the first edition of this seminar book in 1994, the theory and applications of extremes and rare events have enjoyed an enormous and still increasing interest. The intention of the book is to give a mathematically oriented development of the theory of rare events underlying various applications. This characteristic of the book was strengthened in the second edition by incorporating various new results on about 130 additional pages.
Part II, which has been added in the second edition, discusses recent developments in multivariate extreme value theory. Particularly notable is a new spectral decomposition of multivariate distributions in univariate ones which makes multivariate questions more accessible in theory and practice. One of the most innovative and fruitful topics during the last decades was the introduction of generalized Pareto distributions in the univariate extreme value theory. Such a statistical modelling of extremes is now systematically developed in the multivariate framework.
Authors and Affiliations
Bibliographic Information
Book Title: Laws of Small Numbers: Extremes and Rare Events
Authors: Michael Falk, Rolf-Dieter Reiss, Jürg Hüsler
DOI: https://doi.org/10.1007/978-3-0348-7791-6
Publisher: Birkhäuser Basel
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eBook Packages: Springer Book Archive
Copyright Information: Springer Basel AG 2004
eBook ISBN: 978-3-0348-7791-6Published: 11 November 2013
Edition Number: 2
Number of Pages: XIII, 378
Number of Illustrations: 12 b/w illustrations
Additional Information: Originally published as volume 23 in the series: DMV Seminar
Topics: Probability Theory and Stochastic Processes, Statistical Theory and Methods