An Introduction to Statistical Modeling of Extreme Values

by Stuart Coles

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.

223 pages, Hardcover

First published December 12, 2001

Reviews

[David · Rating 4 out of 5]

Essential textbook to introduce yourself in the non trivial topic of statistical extremes. Here you will encounter all the main ideas (GEVs, Poisson process...) greatly explained (I love how he explains the basic concepts behind Markov Chain Monte Carlo). You will find many examples and lots of detailed text, but you will not find many proofs of the theorems, you will need another book for that (and be sure to have your analysis well polished). There is also an appendix with code; it's written in the S language, slightly outdated, but R is very similar to S.

[Zach Mackin · Rating 4 out of 5]

summer reading complete (12 hours to spare)