Extreme Value Modeling and Risk Analysis: Methods and Applications
暫譯: 極端值模型與風險分析：方法與應用

Dey, Dipak K., Yan, Jun

Extreme Value Modeling and Risk Analysis: Methods and Applications
  • 出版商: CRC
  • 出版日期: 2020-12-18
  • 售價: $2,450
  • 貴賓價: 9.5 折 $2,328
  • 語言: 英文
  • 頁數: 520
  • 裝訂: Quality Paper - also called trade paper
  • ISBN: 0367737396
  • ISBN-13: 9780367737399

    • 已絕版

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商品描述

Extreme Value Modeling and Risk Analysis: Methods and Applications presents a broad overview of statistical modeling of extreme events along with the most recent methodologies and various applications. The book brings together background material and advanced topics, eliminating the need to sort through the massive amount of literature on the subject.

 

 

 

 

 

 

 

After reviewing univariate extreme value analysis and multivariate extremes, the book explains univariate extreme value mixture modeling, threshold selection in extreme value analysis, and threshold modeling of non-stationary extremes. It presents new results for block-maxima of vine copulas, develops time series of extremes with applications from climatology, describes max-autoregressive and moving maxima models for extremes, and discusses spatial extremes and max-stable processes. The book then covers simulation and conditional simulation of max-stable processes; inference methodologies, such as composite likelihood, Bayesian inference, and approximate Bayesian computation; and inferences about extreme quantiles and extreme dependence. It also explores novel applications of extreme value modeling, including financial investments, insurance and financial risk management, weather and climate disasters, clinical trials, and sports statistics.

 

 

 

 

 

 

 

 

 

Risk analyses related to extreme events require the combined expertise of statisticians and domain experts in climatology, hydrology, finance, insurance, sports, and other fields. This book connects statistical/mathematical research with critical decision and risk assessment/management applications to stimulate more collaboration between these statisticians and specialists.

 

 

商品描述(中文翻譯)

《極端值建模與風險分析：方法與應用》提供了對極端事件統計建模的廣泛概述，並介紹了最新的方法論和各種應用。本書將背景資料和進階主題結合在一起，消除了需要篩選大量相關文獻的麻煩。

在回顧單變量極端值分析和多變量極端值後，本書解釋了單變量極端值混合建模、極端值分析中的閾值選擇，以及非平穩極端值的閾值建模。它呈現了有關藤共軛的區塊最大值的新結果，開發了來自氣候學的極端值時間序列，描述了極端值的最大自迴歸和移動最大模型，並討論了空間極端值和最大穩定過程。接著，本書涵蓋了最大穩定過程的模擬和條件模擬；推斷方法論，如複合似然、貝葉斯推斷和近似貝葉斯計算；以及對極端分位數和極端依賴性的推斷。它還探討了極端值建模的新穎應用，包括金融投資、保險和金融風險管理、天氣和氣候災害、臨床試驗以及體育統計。

與極端事件相關的風險分析需要統計學家和氣候學、水文學、金融、保險、體育及其他領域的專家共同合作。本書將統計/數學研究與關鍵決策和風險評估/管理應用相連接，以促進這些統計學家和專家之間的更多合作。

作者簡介

Jun Yan is a professor in the Department of Statistics at the University of Connecticut. He was previously an assistant professor at the University of Iowa. He received a Ph.D. in statistics from the University of Wisconsin-Madison. His research interests include spatial extremes, copulas, survival analysis, estimating equations, clustered data analysis, statistical computing, and applications in public health and environment.

 

 

Dipak K. Dey is a Board of Trustees Distinguished Professor in the Department of Statistics and associate dean of the College of Liberal Arts and Sciences at the University of Connecticut. He is an elected fellow of the International Society for Bayesian Analysis and American Association for the Advancement of Science, an elected member of the Connecticut Academy of Arts and Sciences and International Statistical Institute, and a fellow of the American Statistical Association and Institute of Mathematical Statistics. Dr. Dey is a co-editor and co-author of several books, including the Chapman & Hall/CRC Bayesian Modeling in Bioinformatics and A First Course in Linear Model Theory. His research interests include Bayesian analysis, bioinformatics, biostatistics, computational statistics, decision theory, environmental statistics, multivariate analysis, optics, reliability and survival analysis, statistical shape analysis, and statistical genetics.

 

 

作者簡介(中文翻譯)

Jun Yan 是康乃狄克大學統計系的教授。他之前是愛荷華大學的助理教授。他在威斯康辛大學麥迪遜分校獲得統計學博士學位。他的研究興趣包括空間極值、聯合分布、存活分析、估計方程、聚類數據分析、統計計算，以及在公共衛生和環境中的應用。

Dipak K. Dey 是康乃狄克大學統計系的董事會傑出教授及文理學院的副院長。他是國際貝葉斯分析學會和美國科學促進會的當選院士，康乃狄克藝術與科學學院和國際統計學會的當選成員，以及美國統計協會和數學統計學會的院士。Dey博士是幾本書的共同編輯和共同作者，包括 Chapman & Hall/CRC 的 Bayesian Modeling in Bioinformatics 和 A First Course in Linear Model Theory。他的研究興趣包括貝葉斯分析、生物信息學、生物統計學、計算統計學、決策理論、環境統計學、多變量分析、光學、可靠性和存活分析、統計形狀分析以及統計遺傳學。

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