dc.contributor.author Davison, Anthony C. dc.contributor.author Huser, Raphaël dc.date.accessioned 2015-08-03T12:33:50Z dc.date.available 2015-08-03T12:33:50Z dc.date.issued 2015-04-10 dc.identifier.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 dc.identifier.issn 23268298 dc.identifier.doi 10.1146/annurev-statistics-010814-020133 dc.identifier.uri http://hdl.handle.net/10754/564140 dc.description.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. dc.publisher Annual Reviews dc.subject Asymptotic dependence dc.subject Asymptotic independence dc.subject Extrapolation dc.subject Generalized extreme value distribution dc.subject Generalized Pareto distribution dc.subject Max-stability dc.subject Pareto process dc.subject Peaks over thresholds dc.subject Poisson process dc.title Statistics of Extremes dc.type Article dc.contributor.department Applied Mathematics and Computational Science Program dc.contributor.department Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division dc.contributor.department Statistics Program dc.identifier.journal Annual Review of Statistics and Its Application dc.contributor.institution Ecole Polytechnique Fédérale de LausanneLausanne, Switzerland kaust.person Huser, Raphaël
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