Extreme Values In Random Sequences
| Author | : Pavle Mladenović |
| Publisher | : Springer Nature |
| Total Pages | : 287 |
| Release | : |
| Genre | : |
| ISBN | : 3031574125 |
Extreme Values In Random Sequences
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Extremes and Related Properties of Random Sequences and Processes
| Author | : M. R. Leadbetter |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 344 |
| Release | : 2012-12-06 |
| Genre | : Mathematics |
| ISBN | : 1461254493 |
Classical Extreme Value Theory-the asymptotic distributional theory for maxima of independent, identically distributed random variables-may be regarded as roughly half a century old, even though its roots reach further back into mathematical antiquity. During this period of time it has found significant application-exemplified best perhaps by the book Statistics of Extremes by E. J. Gumbel-as well as a rather complete theoretical development. More recently, beginning with the work of G. S. Watson, S. M. Berman, R. M. Loynes, and H. Cramer, there has been a developing interest in the extension of the theory to include, first, dependent sequences and then continuous parameter stationary processes. The early activity proceeded in two directions-the extension of general theory to certain dependent sequences (e.g., Watson and Loynes), and the beginning of a detailed theory for stationary sequences (Berman) and continuous parameter processes (Cramer) in the normal case. In recent years both lines of development have been actively pursued.
Statistics of Extremes and Records in Random Sequences
| Author | : Satya N. Majumdar |
| Publisher | : Oxford University Press |
| Total Pages | : 257 |
| Release | : 2024-05-16 |
| Genre | : Mathematics |
| ISBN | : 0192517880 |
Rare events such as earthquakes, tsunamis, floods etc do not fortunately occur every day, but when they do, their effects are devastating. These days, such rare events are particularly important to understand to characterize the global warming and climate changes. In addition to natural catastrophes, rare events such as big financial crashes also play a significant role in economy. In the absence of predictive models, the best way forward is to analyse the statistics of these extreme events and draw conclusions from it about the probability of their occurrences. Extreme value statistics (EVS) and the statistics of records in a random sequence are examples of a truly interdisciplinary topic, spanning from statistics and mathematics on one side to physics of disordered systems on the other. They have tremendous importance and practical applications in a wide variety of fields, such as climate science, finance, spin-glasses, and random matrices. Statistics and mathematical literature have explored the subject of the classical theory of EVS. However, more recently, EVS started to play a very important role in statistical physics, in particular in disordered systems. This has led to a plethora of activities, both in the statistical physics and in the mathematics communities over the last few decades. This book develops the theory of rare events, both for the classical uncorrelated as well as for correlated sequences, in terms of simple models and examples. Statistics of Extremes and Records in Random Sequences is a pedagogical book with examples illustrating the basic tools and techniques that are essential to a student starting to work in this interesting and rapidly developing field.
Laws of Small Numbers: Extremes and Rare Events
| Author | : Michael Falk |
| Publisher | : Birkhäuser |
| Total Pages | : 381 |
| Release | : 2013-11-11 |
| Genre | : Mathematics |
| ISBN | : 3034877919 |
Since the publication of the first edition of this seminar book, the theory and applications of extremes and rare events have seen increasing interest. Laws of Small Numbers gives a mathematically oriented development of the theory of rare events underlying various applications. The new edition incorporates numerous new results on about 130 additional pages. Part II, added in the second edition, discusses recent developments in multivariate extreme value theory.
Extreme Values, Regular Variation and Point Processes
| Author | : Sidney I. Resnick |
| Publisher | : Springer |
| Total Pages | : 334 |
| Release | : 2013-12-20 |
| Genre | : Mathematics |
| ISBN | : 0387759530 |
This book examines the fundamental mathematical and stochastic process techniques needed to study the behavior of extreme values of phenomena based on independent and identically distributed random variables and vectors. It emphasizes the core primacy of three topics necessary for understanding extremes: the analytical theory of regularly varying functions; the probabilistic theory of point processes and random measures; and the link to asymptotic distribution approximations provided by the theory of weak convergence of probability measures in metric spaces.
An Introduction to Statistical Modeling of Extreme Values
| Author | : Stuart Coles |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 219 |
| Release | : 2013-11-27 |
| Genre | : Mathematics |
| ISBN | : 1447136756 |
Directly oriented towards real practical application, this book develops both the basic theoretical framework of extreme value models and the statistical inferential techniques for using these models in practice. Intended for statisticians and non-statisticians alike, the theoretical treatment is elementary, with heuristics often replacing detailed mathematical proof. Most aspects of extreme modeling techniques are covered, including historical techniques (still widely used) and contemporary techniques based on point process models. A wide range of worked examples, using genuine datasets, illustrate the various modeling procedures and a concluding chapter provides a brief introduction to a number of more advanced topics, including Bayesian inference and spatial extremes. All the computations are carried out using S-PLUS, and the corresponding datasets and functions are available via the Internet for readers to recreate examples for themselves. An essential reference for students and researchers in statistics and disciplines such as engineering, finance and environmental science, this book will also appeal to practitioners looking for practical help in solving real problems. Stuart Coles is Reader in Statistics at the University of Bristol, UK, having previously lectured at the universities of Nottingham and Lancaster. In 1992 he was the first recipient of the Royal Statistical Society's research prize. He has published widely in the statistical literature, principally in the area of extreme value modeling.
Extreme Values in Finance, Telecommunications, and the Environment
| Author | : Barbel Finkenstadt |
| Publisher | : CRC Press |
| Total Pages | : 422 |
| Release | : 2003-07-28 |
| Genre | : Mathematics |
| ISBN | : 0203483359 |
Because of its potential to ...predict the unpredictable,... extreme value theory (EVT) and methodology is currently receiving a great deal of attention from statistical and mathematical researchers. This book brings together world-recognized authorities in their respective fields to provide expository chapters on the applications, use, and theory
Bioinformatics
| Author | : Mahmood A. Mahdavi |
| Publisher | : BoD – Books on Demand |
| Total Pages | : 740 |
| Release | : 2011-11-02 |
| Genre | : Computers |
| ISBN | : 9533072822 |
Bioinformatics - Trends and Methodologies is a collection of different views on most recent topics and basic concepts in bioinformatics. This book suits young researchers who seek basic fundamentals of bioinformatic skills such as data mining, data integration, sequence analysis and gene expression analysis as well as scientists who are interested in current research in computational biology and bioinformatics including next generation sequencing, transcriptional analysis and drug design. Because of the rapid development of new technologies in molecular biology, new bioinformatic techniques emerge accordingly to keep the pace of in silico development of life science. This book focuses partly on such new techniques and their applications in biomedical science. These techniques maybe useful in identification of some diseases and cellular disorders and narrow down the number of experiments required for medical diagnostic.
Extreme Value Methods with Applications to Finance
| Author | : Serguei Y. Novak |
| Publisher | : CRC Press |
| Total Pages | : 397 |
| Release | : 2011-12-20 |
| Genre | : Mathematics |
| ISBN | : 1439835756 |
Extreme value theory (EVT) deals with extreme (rare) events, which are sometimes reported as outliers. Certain textbooks encourage readers to remove outliers-in other words, to correct reality if it does not fit the model. Recognizing that any model is only an approximation of reality, statisticians are eager to extract information about unknown di
Extreme Events in Finance
| Author | : Francois Longin |
| Publisher | : John Wiley & Sons |
| Total Pages | : 690 |
| Release | : 2016-09-30 |
| Genre | : Business & Economics |
| ISBN | : 1118650204 |
A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector Presenting a uniquely accessible guide, Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance and a practical understanding of market behavior including both ordinary and extraordinary conditions. Beginning with a fascinating history of EVTs and financial modeling, the handbook introduces the historical implications that resulted in the applications and then clearly examines the fundamental results of EVT in finance. After dealing with these theoretical results, the handbook focuses on the EVT methods critical for data analysis. Finally, the handbook features the practical applications and techniques and how these can be implemented in financial markets. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications includes: Over 40 contributions from international experts in the areas of finance, statistics, economics, business, insurance, and risk management Topical discussions on univariate and multivariate case extremes as well as regulation in financial markets Extensive references in order to provide readers with resources for further study Discussions on using R packages to compute the value of risk and related quantities The book is a valuable reference for practitioners in financial markets such as financial institutions, investment funds, and corporate treasuries, financial engineers, quantitative analysts, regulators, risk managers, large-scale consultancy groups, and insurers. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications is also a useful textbook for postgraduate courses on the methodology of EVTs in finance.
