Statistics of Extremes: Theory and Applications

Jan Beirlant, Yuri Goegebeur, Johan Segers, Jozef Teugels, Daniel De Waal, Chris Ferro9780471976479, 0471976474

Research in the statistical analysis of extreme values has flourished over the past decade: new probability models, inference and data analysis techniques have been introduced; and new application areas have been explored. Statistics of Extremes comprehensively covers a wide range of models and application areas, including risk and insurance: a major area of interest and relevance to extreme value theory. Case studies are introduced providing a good balance of theory and application of each model discussed, incorporating many illustrated examples and plots of data. The last part of the book covers some interesting advanced topics, including  time series, regression, multivariate and Bayesian modelling of extremes, the use of which has huge potential.