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    Statistics of Extremes

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    Type
    Article
    Authors
    Davison, Anthony C.
    Huser, Raphaël cc
    KAUST Department
    Applied Mathematics and Computational Science Program
    Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
    Statistics Program
    Date
    2015-04-10
    Permanent link to this record
    http://hdl.handle.net/10754/564140
    
    Metadata
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    Abstract
    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-010814-020133
    Publisher
    Annual Reviews
    Journal
    Annual Review of Statistics and Its Application
    DOI
    10.1146/annurev-statistics-010814-020133
    ae974a485f413a2113503eed53cd6c53
    10.1146/annurev-statistics-010814-020133
    Scopus Count
    Collections
    Articles; Applied Mathematics and Computational Science Program; Statistics Program; Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division

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