Multivariate Extreme Value Theory and D-Norms: Springer Series in Operations Research and Financial Engineering
Autor Michael Falken Limba Engleză Hardback – 19 feb 2019
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Specificații
ISBN-13: 9783030038182
ISBN-10: 3030038181
Pagini: 240
Ilustrații: X, 241 p. 5 illus.
Dimensiuni: 155 x 235 mm
Greutate: 0.55 kg
Ediția:1st ed. 2019
Editura: Springer International Publishing
Colecția Springer
Seria Springer Series in Operations Research and Financial Engineering
Locul publicării:Cham, Switzerland
ISBN-10: 3030038181
Pagini: 240
Ilustrații: X, 241 p. 5 illus.
Dimensiuni: 155 x 235 mm
Greutate: 0.55 kg
Ediția:1st ed. 2019
Editura: Springer International Publishing
Colecția Springer
Seria Springer Series in Operations Research and Financial Engineering
Locul publicării:Cham, Switzerland
Cuprins
1. D-Norms.- 2. D-Norms & Multivariate Extremes.- 3. Copulas & Multivariate Extremes.- 4. An Introduction to Functional Extreme Value Theory.- 5. Further Applications of D-Norms to Probability & Statistics.
Recenzii
“This interesting monograph contains an excellent, almost complete account of the contemporary knowledge about D-norms. … The book can be used as textbook for course on METV.” (Wiesław Dziubdziela, zbMATH 1428.60002, 2020)
Textul de pe ultima copertă
This monograph compiles the contemporary knowledge about D-norms and provides an introductory tour through the essentials of multivariate extreme value theory. Following a clear introduction of D-norms, this book introduces links with the theory through multivariate generalized Pareto distributions and max stable distributions. Further views on D-norms from a functional analysis perspective and from stochastic geometry underline the aim of this book to reveal mathematical structures. This book is intended for mathematicians with a basic knowledge of analysis and probability theory, including Fubini's theorem.
Caracteristici
Provides an easy access to multivariate extreme value theory Compiles the contemporary knowledge about D-norms Provides a relaxed tour through the essentials of multivariate extreme value theory Develops the notion of D-Norm as a convenient tool to represent the multivariate extreme value laws of max-stable processes