Multivariate Extreme Value Theory and D-Norms

ISBN-13: 9783030038182 / Angielski / Twarda / 2019 / 241 str.

Michael Falk

Recenzje

"This interesting monograph contains an excellent, almost complete account of the contemporary knowledge about D-norms. ... The book can be used as textbook for course on METV." (Wieslaw Dziubdziela, zbMATH 1428.60002, 2020)

Spis treści

1. ​D-Norms.- 2. D-Norms & Multivariate Extremes.- 3. Copulas & Multivariate Extremes.- 4. An Introduction to Functional Extreme Value Theory.- 5. Further Applications of D-Norms to Probability & Statistics.

Blurb

This monograph compiles the contemporary knowledge about D-norms and provides an introductory tour through the essentials of multivariate extreme value theory. Following a clear introduction of D-norms, this book introduces links with the theory through multivariate generalized Pareto distributions and max stable distributions. Further views on D-norms from a functional analysis perspective and from stochastic geometry underline the aim of this book to reveal mathematical structures. This book is intended for mathematicians with a basic knowledge of analysis and probability theory, including Fubini's theorem.