If you have tried to learn extreme value theory (EVT) and been
frustrated by all the arcane mathematics, Kotz and Nadarajah is the perfect
solution. The book is short, highly readable and focused on what is
important. Scholarly notes and extensive references to the literature direct you
where to look for more information. I really like the detailed material on the
historical development of extreme value distributions. This helps place
everything in context.
Contents
Preface
1. Univariate Extreme Value Distributions
2. Generalized Extreme Value Distributions
3. Multivariate Extreme Value Distributions
Bibliography
Index of Applications
Subject Index
If I have one criticism, it is that the authors' brevity sometimes becomes
cryptic. It doesn't happen often, but having another reference available, such
as the more weighty Embrechts et al. (2000), may be helpful for clarifying
some concepts.
