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Extreme Values, Regular Variation and Point Processes
Paperback
Series: Springer Operations Research and Financial Engineering
General MathematicsProbability & Statistics
ISBN13: 9780387759524
Publisher: Springer Nature
Published: Nov 26 2007
Pages: 320
Weight: 1.06
Height: 0.62 Width: 6.39 Depth: 9.28
Language: English
This book presents a readable, efficient account of 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 presents a coherent treatment of the distributional and sample path fundamental properties of extremes and records. 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.
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