Statistics of Extremes

@inproceedings{Davison2011StatisticsOE,
  title={Statistics of Extremes},
  author={Anthony C. Davison},
  booktitle={International Encyclopedia of Statistical Science},
  year={2011}
}
  • A. Davison
  • Published in
    International Encyclopedia of…
    17 April 2015
  • Mathematics
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… 
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