Work

Statistics of Extremes

Year: 2015

Type: review

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.

Source: Annual Review of Statistics and Its Application

DOI: 10.1146/annurev-statistics-010814-020133

Authors: A.C. Davison, R. Huser

Institutions: École Polytechnique Fédérale de Lausanne, King Abdullah University of Science and Technology

Language: English

Topic: Probability and Risk Models

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2123834969

FWCI: 3.313

Cites: 128

Cited by: 197

Related to: 10