Laws of small numbers: extremes and rare events

2., rev. and extend. ed.

Basel

2004

XIII, 376 S.

Monographie

978-3-7643-2416-2

15745

142747

The intention of the book is to give a mathematically oriented development of the theory of rare events underlying various applications. This characteristic of the book was strengthened in the second edition by incorporating various new results on about 130 additional pages. Part II, which has been added in the second edition, discusses recent developments in multivariate extreme value theory. Particularly notable is a new spectral decomposition of multivariate distributions in univariate ones which makes multivariate questions more accessible in theory and practice. One of the most innovative and fruitful topics during the last decades was the introduction of generalized Pareto distributions in the univariate extreme value theory. Such a statistical modelling of extremes is now systematically developed in the multivariate framework. The theory of rare events of non iid observations, as outlined in Part III, has seen many new approaches during the last ten years. Very often these problems can be seen as boundary crossing probabilities. Some of these new aspects of boundary crossing probabilities are dealt with in this edition.