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Extreme Value Distributions |
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Samuel Kotz and Saralees Nadarajah |
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2000 |
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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 ... Read more |
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Modelling Extremal Events |
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P. Embrechts, C. Kluppelberg, T. Mikosch |
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2000 |
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Extreme value theory (EVT) is the study of probabilistic
extremes. For example, if you were to randomly draw 10,000 standard normal
variates, the maximum of those values is a random variable. EVA would answer
questions related to the mean or standard deviation of that maximum
value. EVA focuses primarily on asymptotic behavior as ...
Read more |
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