Author | Leadbetter, M. R. author |
---|---|

Title | Extremes and Related Properties of Random Sequences and Processes [electronic resource] / by M. R. Leadbetter, Georg Lindgren, Holger Rootzรฉn |

Imprint | New York, NY : Springer New York, 1983 |

Connect to | http://dx.doi.org/10.1007/978-1-4612-5449-2 |

Descript | XII, 336 p. online resource |

SUMMARY

Classical Extreme Value Theory-the asymptotic distributional theory for maxima of independent, identically distributed random variables-may be regarded as roughly half a century old, even though its roots reach further back into mathematical antiquity. During this period of time it has found significant application-exemplified best perhaps by the book Statistics of Extremes by E. J. Gumbel-as well as a rather complete theoretical development. More recently, beginning with the work of G. S. Watson, S. M. Berman, R. M. Loynes, and H. Cramer, there has been a developing interest in the extension of the theory to include, first, dependent sequences and then continuous parameter stationary processes. The early activity proceeded in two directions-the extension of general theory to certain dependent sequences (e.g., Watson and Loynes), and the beginning of a detailed theory for stationary sequences (Berman) and continuous parameter processes (Cramer) in the normal case. In recent years both lines of development have been actively pursued

CONTENT

I Classical Theory of Extremes -- 1 Asymptotic Distributions of Extremes -- 2 Exceedances of Levels and kth Largest Maxima -- 2.1. Part II Extremal Properties of Dependent Sequences -- 3 Maxima of Stationary Sequences -- 4 Normal Sequences -- 5 Convergence of the Point Process of Exceedances, and the Distribution of kth Largest Maxima -- 6 Nonstationary, and Strongly Dependent Normal Sequences -- 6.1. Part III Extreme Values in Continuous Time -- 7 Basic Properties of Extremes and Level Crossings -- 8 Maxima of Mean Square Differentiable Normal Processes -- 9 Point Processes of Upcrossings and Local Maxima -- 10 Sample Path Properties at Upcrossings -- 11 Maxima and Minima and Extremal Theory for Dependent Processes -- 12 Maxima and Crossings of Nondifferentiable Normal Processes -- 13 Extremes of Continuous Parameter Stationary Processes -- Applications of Extreme Value Theory -- 14 Extreme Value Theory and Strength of Materials -- 15 Application of Extremes and Crossings Under Dependence -- Appendix Some Basic Concepts of Point Process Theory -- List of Special Symbols

Statistics
Probabilities
Statistics
Statistics general
Probability Theory and Stochastic Processes