Extreme Value Theory: An Introduction

Laurens de Haan, Ana Ferreira9780387239460, 0387239464

This treatment of extreme value theory is unique in book literature in that it focuses on some beautiful theoretical results along with applications. All the main topics covering the heart of the subject are introduced to the reader in a systematic fashion so that in the final chapter even the most recent developments in the theory can be understood.

Key to the presentation is the concentration on the probabilistic and statistical aspects of extreme values without major emphasis on such related topics as regular variation, point processes, empirical distribution functions, and Brownian motion.

The work is an excellent introduction to extreme value theory at the graduate level, requiring only some mathematical maturity.