Directly oriented towards real practical application, this book develops both the basic theoretical framework of extreme value models and the statistical inferential techniques for using these models in practice. Intended for statisticians and non-statisticians alike, the theoretical treatment is elementary, with heuristics often replacing detailed mathematical proof. Most aspects of extreme modeling techniques are covered, including historical techniques (still widely used) and contemporary techniques based on point process models. A wide range of worked examples, using genuine datasets, illustrate the various modeling procedures and a concluding chapter provides a brief introduction to a number of more advanced topics, including Bayesian inference and spatial extremes. All the computations are carried out using S-PLUS, and the corresponding datasets and functions are available via the Internet for readers to recreate examples for themselves. An essential reference for students and researchers in statistics and disciplines such as engineering, finance and environmental science, this book will also appeal to practitioners looking for practical help in solving real problems. Stuart Coles is Reader in Statistics at the University of Bristol, UK, having previously lectured at the universities of Nottingham and Lancaster. In 1992 he was the first recipient of the Royal Statistical Society's research prize. He has published widely in the statistical literature, principally in the area of extreme value modeling. From the reviews of the first edition:
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
"Coles is to be congratulated on having brought the whole breadth of statistical modeling extremes within one volume of about 200 pages. This is indeed a nontrivial feat...I am convinced that this book will find its rightful place on the extremal-event modeler's bookshelf. The very readable style, the many examples, and the avoidance of too many technicalities will no doubt please numerous researchers and students who want to apply the theory in their own research environment."
"This book is all about the theory and applications of extreme value models. ... Both statisticians and applied scientists in engineering, finance, traffic analysts, food scientists, earthquake engineers, and environmental scientists will like this book. I enjoyed reading it and recommend it highly." (Ramalingam Shanmugam, Journal of Statistical Computation and Stimulation, Vol. 74 (11), 2004)
"In the given book, Stuart Coles presents his viewpoin
An Introduction to Statistical Modeling of Extreme Values
1. Introduction.- 2. Basics of Statistical Modeling.- 3. Classical Extreme Value Theory and Models.- 4. Threshold Models.- 5. Extremes of Dependent Sequences.- 6. Extremes of Non-Stationary Sequences.- 7. A Point Process Characterization of Extremes.- 8. Multivariate Extremes.- 9. Further Topics.- Appendix A: Computational Aspects.- Index.