Extreme value distributions

DOI10.2991/978-94-6239-222-9MaRDI QIDQ318829zbMATH OpenOpenAlexFDO

Publication date 5 October 2016

Published in Atlantis Studies in Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2991/978-94-6239-222-9

domains of attraction extreme values order statistics record statistics

Rate of growth of functions, orders of infinity, slowly varying functions (26A12) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Probability distributions: general theory (60E05) Extreme value theory; extremal stochastic processes (60G70) Special processes (60K99)

Review text

In this book, the author discusses various topics in extreme value theory. Chapter 1 is devoted to order statistics and to estimate parameters for certain type of models. Chapter 2 is devoted to record values and estimate parameters and records. Chapter 3 treats the classical extreme value theory with a discussion of the domain of attraction of the three types of extreme value distributions. In the final chapter (4), the author discusses statistical inference for extreme value distributions. The books gives a survey of known results. It can serve as an introduction for students with an interest in extreme values and the examples in the book are appropriate. The statistical inference is mostly parametric and in Chapter 4 we miss many efforts that have been accomplished for estimation procedures in extreme value theory. The book contains 23 pages of references, but in the text the author hardly mentions any of these references. The book lacks exercises and up-to-date applications. Also, the index is very poor.

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