Dear All
The results, following my request for an introductory book on Extreme Value
Theory, are listed below. The original email messages are copied after the
list of books. Some web pages are also given where papers on EVT can be
accessed. Thank you all for your prompt and very useful comments.
Embrechts, P., Klüppelberg, C., Mikosch, T. (1997) , Modelling Extremal
Events for Insurance and Finance. Springer, Berlin. (4 Votes)
Beirlant, J., Teugels, J.L. and Vynckier, P. (1996). Practical Analysis of
Extreme Values. Leuven University press, Leuven. (2 Votes)
Castillo, Enrique (1988) Extreme Value Theory in Engineering
Barnett V, Lewis T (1994) Outliers in statistical data, 3rd edition.
Chichester: Wiley
Lectures Notes by Stuart Coles at http://www.stats.bris.ac.uk/~masgc/
Geladi, Paul; & Teugels, Jozef L., Extreme Value Theory and Its Potential
Role in Chemometrics: A Tutorial - was a mss in 1995.
Falk, M., Huesler, J. and Reiss, R.-D (1994). Laws of Small Numbers and Rare
Events. DMV-Seminar, Vol.
23, Birkhaueser Verlag, Basel.
Reiss, R.-D. and Thomas, M. (1997). Statistical Analysis of Extreme Values
with Applications to
Insurance, Finance, Hydrology and Other Fields, Birkhaueser, Basel.
Resnick, S.I. (1987). Extreme Values, Regular Variation and Point Processes,
Springer Verlag, New
York.
Extremes and Related Properties of Random Sequences and Series: By
Leadbetter, Lindgren and Rootzen, Springer-Verlag, 1983.
Smith, R. L. (1989). Extreme value analysis of environmental time series: an
application to trend detection in ground level ozone. Statistical Science,
4, 367-393.
Coomaren
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There are no really introductory books on extremes as far as I am aware,but
there are several that give a good account of the theory. For example, see
1) Modelling Extremal Events: By Embrechts, Kluppelberg and
Mikosch,Springer-Verlag, 1997.
2) Extremes and Related Properties of Random Sequences and Series: By
Leadbetter, Lindgren and Rootzen, Springer-Verlag, 1983.
Applications are better understood from papers. For example see
Smith, R. L. (1989). Extreme value analysis of environmental time series:
an application to trend detection in ground level ozone. Statistical
Science, 4, 367-393.
Hope that helps. Do get in touch if you need further assistance.
Best regards,
Anthony Ledford.
---
Dr Anthony Ledford.Department of Mathematics & Statistics
Email: [log in to unmask] University of Surrey, Guildford,
Phone : +44 (0)1483 - 876075 Surrey, GU2 7XH,
Fax=09: +44 (0)1483 - 876071 United Kingdom.
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For a good book on extreme value theory, well explained and at the same time
very complete, "Modelling Extremal Events (for insurance and finance)" by P.
Embrechts, C. Klüppelberg and T. Mikosch (1997, Springer-Verlag, Heidelberg,
Berlin) is an excellent reference. Contains theory, applications and many
many
references.
Gunther Matthys
University Center for Statistics - KULeuven,
3001 Leuven, Belgium
URL: http://www.kuleuven.ac.be/ucs/research/extremes.htm
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Here are three recent books on Extreme Value Theory
which you may find useful.
1. Falk, M., Huesler, J. and Reiss, R.-D (1994). Laws
of Small Numbers and Rare Events. DMV-Seminar, Vol.
23, Birkhaueser Verlag, Basel.
2. Reiss, R.-D. and Thomas, M. (1997). Statistical
Analysis of Extreme Values with Applications to
Insurance, Finance, Hydrology and Other Fields,
Birkhaueser, Basel.
3. Resnick, S.I. (1987). Extreme Values, Regular
Variation and Point Processes, Springer Verlag, New
York.
Yours cordially,
Sreenivasan Ravi
=====
Department of Statistics
University of Mysore
Manasagangotri
Mysore 570 006, India
Tel.: +91-821-412 719; +91-821-515 525, Extn. 45
Fax : +91-821-421 263
PLEASE SEND A COPY OF YOUR REPLY TO [log in to unmask]
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try:
"Practical analysis of extreme values"
Jan Beirlant, Jozef Teugels and Petra Vynckier
Leuven University Press 1996.
Johan Van Horebeek [[log in to unmask]]
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An introductory book in EVT is
Beirlant, J., Teugels, J.L. and Vynckier, P. (1996). Practical Analysis of
Extreme Values. Leuven University press, Leuven.
However, I think that if you want to get a more general llok on the subject
(and subsequently gain a better understanding on the subject) the following
book is much more complete:
Embrechts, P., Kluppelberg, C. and Mikosch, T. (1997). Modelling Extremal
Events for Insurance and Finance. Springer, Berlin.
I have just finished my MSc on this subject so feel free to ask more
details on the subject
Zoi
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Check with:
Geladi, Paul; & Teugels, Jozef L., Extreme Value Theory and Its Potential
Role
in Chemometrics: A Tutorial - was a mss in 1995. By now they probably have
a
publication or 3. Would certainly know some books.
And about the time I was congratulating myself for having this 'super'
answer,
I found I have no address, of any kind. Hope you can find them.
Jay
--
Jay Warner
Principal Scientist
Warner Consulting, Inc.
4444 North Green Bay Road
Racine, WI 53404-1216
USA
Ph: (262) 634-9100
FAX: (262) 681-1133
email: [log in to unmask]
web: http://www.a2q.com
The A2Q Method (tm). What do you want to improve today?
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Embrechts, P., Klüppelberg, C., Mikosch, T. (1997) ,
Modelling Extremal Events for Insurance and Finance.
Springer, Berlin,
seems to be a good place to look for the basic
results and methods without really getting into the theory
(and it is not a 'cook book').
How is life in Umeå? Are you settled for good?
Best wishes,
Jose.
--
J.A. Ferreira
Mitthögskolan
Institutionen för fysik och matematik
851 70 Sundsvall
Sweden
Phone: 0046-60-148464 (office)
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Stiart Coles has an *excellent* set of lecture notes on EV theory on the
web - you can download them as a postscript file from his page at
http://www.stats.bris.ac.uk/~masgc/
He also provides SPlus code to work through some of the examples there. I
have found this to be an excellent resource.
Best wishes,
Richard
=====================================================================
Richard E. Chandler
^^^^^^^^^^^^^^^^^^^
Room 145, Dept of Statistical Science, University College London,
1-19 Torrington Place, London WC1E 6BT, UK
Tel: +44 (0)20 7679 1880 Fax: +44 (0)20 7383 4703
Internet: http://www.ucl.ac.uk/Stats (department)
http://www.ucl.ac.uk/~ucakarc (personal)
email: [log in to unmask]
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you may find interesteing elements in the following book:
Barnett V, Lewis T (1994) Outliers in statistical data, 3rd edition.
Chichester: Wiley
Best regards
B Giraudeau
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I did a project in my BSc on extreme value theory - I found the text by
Enrique Castillo (1988) titled Extreme Value Theory in Engineering very
useful with a good overview of many of the parameter estimation techniques.
I heartily recommend it!
Best of luck
Marion
Marion Bown
PhD Research Student, Environmental Statistics
MSOR, Goldsmith House
The Nottingham Trent University
Burton Street
Nottingham
NG1 4BU
Tel: 0115 8482239
Email: [log in to unmask]
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Dr Coomaren P. Vencatasawmy
Researcher
Swedish University of Agricultural Sciences
Department of Forest Resource Management and Geomatics
Umeå
Sweden
Tel. 46 90 786 65 68
Fax 46 90 14 19 15
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