Topics in data analysis using R in extreme value theory

Metodoloski Zvezki

Volumn 10, Issue 1, 2013, Pages 17-29

  Penalva, Helena ^a   Neves, Manuela ^b   Nunes, Sandra ^a  

^a INSTITUTO POLITÉCNICO DE SETÚBAL   (Portugal)

^b INSTITUTO SUPERIOR DE AGRONOMIA   (Portugal)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84897708979     PISSN: 18540023     EISSN: 18540031     Source Type: Journal    
DOI: None     Document Type: Article

References (17)

1. Beirlant, J, Goegebeur, Y., Teugels, J. and Segers, J. (2004). Statistics of Extremes: Theory and Applications. Wiley, England.
2. Castillo, E., Hadi, A. S., Balakrishnan, N. and Sarabia, J. M., (2005). Extreme Value and Related Models in Engineering and Science Applications. New York: John Wiley & Sons.
3. Coles, S. (2001). An Introduction to Statistical Modeling of Extreme Values. Springer-Verlag, London.
4. Embrechts, P., Klüppelberg, C. and Mikosch, T. (2003). Modelling Extremal Events for Insurance and Finance. Springer-Verlag, London
5. Fisher, R. A. and Tippett, L. H. C. (1928): On the estimation of the frequency distributions of the largest or smallest member of a sample. Proceedings of the Cambridge Philosophical Society, 24, 180-190.
6. Fréchet, M. (1927): Sur la loi de probabilité de l'écart maximum. Ann. Soc. Polon. Math. (Cracovie), 6, 93-116.
7. Gilleland, E., Ribatet, M. and Stephenson, A. G. (2012): A software review for extreme value analysis. Springer (Springerlink.com). Published online:20 July 2012)DOI 10.1007/s10687-012-0155-0).
8. Gnedenko, B. V.(1943): Sur la distribution limite d'une série aléatoire Annals of Mathematics, 44, 423-453.
9. Gumbel, E. J. (1958): Statistics of Extremes. Columbia University Press, New York.
10. Leadbetter, M., Lindgren, G. and Rootzén, H. (1983). Extremes and related properties of random sequences and series. Springer-Verlag, New York.
11. R Development Core Team (2012), R: A Language and Environment for Statistical Computing, R. Foundation for Statistical Computing, Vienna, Austria, URL http://www.R-project.org/.ISBN3-900051-07-0.
12. Reiss, R. D. and Thomas, M. (2007). Statistical Analysis of Extreme Values: With Applications to Insurance, Finance, Hydrology and Other Fields. Third Edition, Springer Verlag.
13. Stephenson, A. G. (2002). evd: Extreme Value Distributions. R News, URL http://CRAN.R-project.org/doc/Rnews/, 2(2), 31-32.
14. Stephenson, A. G. (2012). ismev: An Introduction to Statistical Modeling of Extreme Values. Original S functions written by Janet E. Heffernan with R port and R documentation. R package version 1.38, URL http://CRAN.Rproject.org/package=ismev.
15. Tiago de Oliveira, J. (ed.) (1984). Statistical Extremes and Applications. D. Reidel, Dordrecht, Holland.
16. Tiago de Oliveira, J. (1997). Statistical Analysis of Extremes. Pendor.
17. Von Mises, R. (1936). La distribution de la plus grande de n valeurs. Reprinted in Selected Papers Volumen II, American Mathematical Society, Providence, R.I. (1954), 271-294.