The use and misuse of extreme value models in practice

Extreme Values in Finance, Telecommunications, and the Environment

Volumn , Issue , 2003, Pages 79-100

  Coles, Stuart ^a  

^a UNIVERSITY OF BRISTOL   (United Kingdom)

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EID: 40949113372     PISSN: None     EISSN: None     Source Type: Book    
DOI: None     Document Type: Chapter

References (16)

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2. Coles, S. G. and L. Pericchi (2001). Anticipating catastrophes through extreme value modeling. To appear in Applied Statistics.
3. Coles, S. G. and J. A. Tawn (1996). A Bayesian analysis of extreme rainfall data. Applied Statistics 45, 463-478.
4. Cox, D. R. and D. V. Hinkley (1974). Theoretical Statistics. London: Chapman & Hall.
5. Davison, A. C. and R. L. Smith (1990). Models for exceedances over high thresholds (with discussion). Journal of the Royal Statistical Society, B 52, 393-442.
6. Fisher, R. A. and L. H. C. Tippett (1928). Limiting forms of the frequency distributions of the largest or smallest member of a sample. Proceedings of the Cambridge Philosophical Society 24, 180-190.
7. Gilks, W. R., S. Richardson, and D. J. Spiegelhalter (1996). Markov Chain Monte Carlo in Practice. London: Chapman & Hall.
8. Gnedenko, B. V. (1943). Sur la distribution limite du terme maximum d’une série aléatoire. Annals of Mathematics 44, 423-453.
9. Jenkinson, A. F. (1955). The frequency distribution of the annual maximum (or minimum) values of meteorological events. Quarterly Journal of the Royal Meteorological Society 81, 158-172.
10. Larsen, M. C., M. T. V. Conde, and R. A. Clark (2001). Flash-flood related hazards: landslides, with examples from the December, 1999 disaster in Venezuala. In E. Gruntfest and J. Handmer (Eds.), Coping with Flash Floods, pp. 259-275. Dordrecht: Kluwer.
11. Leadbetter, M. R., G. Lindgren, and H. Rootzén (1983). Extremes and Related Properties of Random Sequences and Series. New York: Springer Verlag.
12. Pickands, J. (1975). Statistical inference using extreme order statistics. Annals of Statistics 3, 119-131.
13. Smith, R. L. (1985). Maximum likelihood estimation in a class of nonregular cases. Biometrika 72, 67-90.
14. Smith, R. L. (1989). Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone (with discussion). Statistical Science 4, 367-393.
15. von Mises, R. (1954). La distribution de la plus grande de n valeurs. In Selected Papers, Volume II, pp. 271-294. Providence, RI: American Mathematical Society.
16. Weissman, I. (1984). Statistical estimation in extreme value theory. In J. Tiago de Oliveira (Ed.), Statistical Extremes and Applications, pp. 109-115. Dordrecht: Reidel.