Type
ArticleKAUST Department
Applied Mathematics and Computational Science ProgramComputer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
Statistics Program
Date
2015-04-10Permanent link to this record
http://hdl.handle.net/10754/564140
Metadata
Show full item recordAbstract
Statistics of extremes concerns inference for rare events. Often the events have never yet been observed, and their probabilities must therefore be estimated by extrapolation of tail models fitted to available data. Because data concerning the event of interest may be very limited, efficient methods of inference play an important role. This article reviews this domain, emphasizing current research topics. We first sketch the classical theory of extremes for maxima and threshold exceedances of stationary series. We then review multivariate theory, distinguishing asymptotic independence and dependence models, followed by a description of models for spatial and spatiotemporal extreme events. Finally, we discuss inference and describe two applications. Animations illustrate some of the main ideas.Citation
Davison, A. C., & Huser, R. (2015). Statistics of Extremes. Annual Review of Statistics and Its Application, 2(1), 203–235. doi:10.1146/annurev-statistics-010814-020133Publisher
Annual Reviewsae974a485f413a2113503eed53cd6c53
10.1146/annurev-statistics-010814-020133