An introduction to statistical modeling of extreme values
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This is a truly enjoyable introduction with a collection of 11 highly motivating data sets and an excellent, clear, discussion of the probabilistic framework and associated inferential techniques with minimal use of notations. It has very little overlap with and different emphasis from the recent monograph of \textit{S. Kotz} and \textit{S.Nadarajah}, Extreme value distributions. Theory and applications. (2000; Zbl 0960.62051). Chapter 1 introduces the data sets that are generously recalled later. Chapter 2 makes the volume self-contained by providing basic distributional results and discussing the maximum likelihood method that is used as the basic inferential tool. The main body provides a good discussion and illustration of classical extreme value theory (Ch. 3), exceedance models (Ch. 4), and models for stationary (Ch. 5) and some non-stationary (Ch. 6) data. Chapter 7 discusses the powerful point process approach. A light introduction to multivariate extremes is given in Chapter 8 and the last chapter provides a brief discussion of Bayesian analysis and spatial extremes. The appendix provides the web resources for the data sets, and S-PLUS codes relevant for the various analyses given in the book. Readers, especially non-statisticians, seeking to model the data of extreme values, will find this book a very practical, invaluable resource. Statistician that are new in the area, will find this treatment comprehensive, and rigorous for the most part, even though it is short and quite informal. (The reviewer found techniques for checking goodness-of-fit beyond the plots to be lacking.) In summary, this is a highly welcome monograph recommended for the personal collection of anyone who plans to interact with extreme value data.
Recommendations
- Extreme value analysis: an introduction
- scientific article; zbMATH DE number 3862208
- Extreme value distributions: an overview of estimation and simulation
- Book review of: S. Coles, An introduction to statistical modeling of extreme values
- Extreme value theory. An introduction.
- Bivariate extreme value theory: Models and estimation
- scientific article; zbMATH DE number 1959514
- scientific article; zbMATH DE number 1944489
- scientific article; zbMATH DE number 7219016
- Extreme Value Theory and Statistics of Univariate Extremes: A Review
Cited in
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- A method of moments estimator of tail dependence
- Estimation of bivariate excess probabilities for elliptical models
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- Review of testing issues in extremes: in honor of Professor Laurens de Haan
- Bayesian inference for clustered extremes
- Weak convergence of the tail empirical process for dependent sequences
- Estimation of the generalized Pareto distribution
- Fitting the generalized Pareto distribution to data using maximum goodness-of-fit estimators
- Modelling extremes of time-dependent data by Markov-switching structures
- Three-dimensional random Voronoi tessellations: from cubic crystal lattices to Poisson point processes
- Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
- Univariate and bivariate GPD methods for predicting extreme wind storm losses
- Time series analysis of particle tracking data for molecular motion on the cell membrane
- Improved threshold diagnostic plots for extreme value analyses
- A nonparametric method for producing isolines of bivariate exceedance probabilities
- Generalized fiducial confidence intervals for extremes
- Automated threshold selection for extreme value analysis via ordered goodness-of-fit tests with adjustment for false discovery rate
- Local polynomial maximum likelihood estimation for Pareto-type distributions.
- Limit theorems for Betti numbers of extreme sample clouds with application to persistence barcodes
- On the statistical properties of viral misinformation in online social media
- Geoadditive modeling for extreme rainfall data
- Small-sample one-sided testing in extreme value regression models
- Likelihood inference for generalized Pareto distribution
- Bayesian threshold selection for extremal models using measures of surprise
- Estimating recurrence intervals of extreme rainfall through a probabilistic modeling approach for different urban cities of Pakistan
- A peak-over-threshold search method for global optimization
- Extreme value modelling of water-related insurance claims
- Time-varying extreme value dependence with application to leading European stock markets
- Bayesian estimation of the tail index of a heavy tailed distribution under random censoring
- A Bayesian hierarchical model for spatial extremes with multiple durations
- Inference for asymptotically independent samples of extremes
- Point process models for novelty detection on spatial point patterns and their extremes
- Convergence of extreme value statistics in a two-layer quasi-geostrophic atmospheric model
- A Poisson process reparameterisation for Bayesian inference for extremes
- Statistical post-processing of forecasts for extremes using bivariate Brown-Resnick processes with an application to wind gusts
- \(k\)th-order Markov extremal models for assessing heatwave risks
- Incorporating model uncertainty into optimal insurance contract design
- Frequency-calibrated belief functions: review and new insights
- Predictability of extreme waves in the Lorenz-96 model near intermittency and quasi-periodicity
- Human life is unlimited -- but short
- Fuzzy clustering of time series using extremes
- Automated selection of r for the r largest order statistics approach with adjustment for sequential testing
- A Bayesian approach to extended models for exceedance
- Extreme quantiles and tail index of a distribution based on kernel estimator
- Diagnostic check for heavy tail in linear time series
- Uncertainty quantification of stochastic simulation for black-box computer experiments
- Modeling maxima with autoregressive conditional Fréchet model
- Assessing conditional extremal risk of flooding in Puerto Rico
- A kappa distribution with a hydrological application
- Multivariate peaks over thresholds models
- Multivariate extreme value copulas with factor and tree dependence structures
- A utility-based link prediction method in social networks
- An improved method for forecasting spare parts demand using extreme value theory
- On Pickands coordinates in arbitrary dimensions
- On the distribution of Pickands coordinates in bivariate EV and GP models
- Forecaster's dilemma: extreme events and forecast evaluation
- A Bayesian spatio-temporal model for precipitation extremes -- STOR team contribution to the EVA2017 challenge
- INLA goes extreme: Bayesian tail regression for the estimation of high spatio-temporal quantiles
- The MELBS team winning entry for the EVA2017 competition for spatiotemporal prediction of extreme rainfall using generalized extreme value quantiles
- ABC model selection for spatial extremes models applied to south Australian maximum temperature data
- Multiple attribute similarity hypermatching
- Estimation of the risk for an unstable behaviour of feedback systems in the presence of nonlinear distortions
- Generalized extreme value distribution with time-dependence using the AR and MA models in state space form
- Approximating the conditional density given large observed values via a multivariate extremes framework, with application to environmental data
- Setting targets for surrogate-based optimization
- Regenerative block-bootstrap confidence intervals for tail and extremal indexes
- Estimation of extreme values by the average conditional exceedance rate method
- An enhanced method for tail index estimation under missingness
- Estimation of the value at risk using the stochastic approach of Taylor formula
- Improved inference for the generalized Pareto distribution
- Bayesian optimal design of an avalanche dam using a multivariate numerical avalanche model
- A full Bayesian approach to generalized maximum likelihood estimation of generalized extreme value distribution
- Generalized Pareto copulas: a key to multivariate extremes
- Exploration and inference in spatial extremes using empirical basis functions
- Non-linear models for extremal dependence
- Towards a general theory of extremes for observables of chaotic dynamical systems
- Semi-parametric modeling of excesses above high multivariate thresholds with censored data
- Extreme value theory for anomaly detection -- the GPD classifier
- A spatio-temporal model for Red Sea surface temperature anomalies
- A regionalisation approach for rainfall based on extremal dependence
- Assessing the risk of disruption of wind turbine operations in Saudi Arabia using Bayesian spatial extremes
- Cyber claim analysis using generalized Pareto regression trees with applications to insurance
- Does terrorism trigger online hate speech? On the association of events and time series
- Climate extreme event attribution using multivariate peaks-over-thresholds modeling and counterfactual theory
- Semiparametric estimation for space-time max-stable processes: an \(F\)-madogram-based approach
- A shared spatial model for multivariate extreme-valued binary data with non-random missingness
- On the tail behaviour of aggregated random variables
- Extremes and regular variation
- Modelling extremes of spatial aggregates of precipitation using conditional methods
- Regression-type analysis for multivariate extreme values
- Statistical quality assessment of Ising-based annealer outputs
- Interpolation of precipitation extremes on a large domain toward IDF curve construction at unmonitored locations
- Modelling sub-daily precipitation extremes with the blended generalised extreme value distribution
- Scoring predictions at extreme quantiles
- Discrete scaling and criticality in a chain of adaptive excitable integrators
- Tolerance intervals in statistical software and robustness under model misspecification
- How do mobility restrictions and social distancing during COVID-19 affect oil price?
- Applying of the extreme value theory for determining extreme claims in the automobile insurance sector: case of a China car insurance
- Extreme events in dynamical systems and random walkers: a review
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