Statistical analysis of extreme data is vital to many disciplines including hydrology, insurance, finance, engineering and environmental sciences. This book provides a self-contained introduction to parametric modeling, exploratory analysis and statistical interference for extreme values. For this Third Edition, the entire text has been thoroughly updated and rearranged to meet contemporary requirements, with new sections and chapters address such topics as dependencies, the conditional analysis and the multivariate modeling of extreme data. New chapters include An Overview of Reduced-Bias Estimation; The Spectral Decomposition Methodology; About Tail Independence; and Extreme Value Statistics of Dependent Random Variables.

This is a self-contained introduction to parametric modeling, exploratory analysis and statistical interference for extreme values, as used in disciplines from hydrology to finance to environmental science. Updated and expanded by 100 pages.

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The statistical analysis of extreme data is important for various disciplines, including hydrology, insurance, finance, engineering and environmental sciences. This book provides a self-contained introduction to the parametric modeling, exploratory analysis and statistical interference for extreme values.

The entire text of this third edition has been thoroughly updated and rearranged to meet the new requirements. Additional sections and chapters, elaborated on more than 100 pages, are particularly concerned with topics like dependencies, the conditional analysis and the multivariate modeling of extreme data. Parts I?III about the basic extreme value methodology remain unchanged to some larger extent, yet notable are, e.g., the new sections about "An Overview of Reduced-Bias Estimation" (co-authored by M.I. Gomes), "The Spectral Decomposition Methodology", and "About Tail Independence" (co-authored by M. Frick), and the new chapter about "Extreme Value Statistics of Dependent Random Variables" (co-authored by H. Drees). Other new topics, e.g., a chapter about "Environmental Sciences", (co--authored by R.W. Katz), are collected within Parts IV?VI.

Preface to the Third Edition Preface to the Second Edition Preface to the First Edition List of Special Symbols I Modeling and Data Analysis 1 Parametric Modeling 2 Diagnostic Tools II Statistical Inference in Parametric Models 3 An Introduction to Parametric Inference 4 Extreme Value Models 5 Generalized Pareto Models 6 Advanced Statistical Analysis 7 Statistics of Dependent Variables 8 Conditional Extremal Analysis 9 Statistical Models for Exceedance Processes III Elements of Multivariate Statistical Analysis 10 Basic Multivariate Concepts and Visualization 11 Elliptical and Related Distributions 12 Multivariate Maxima 13 Multivariate Peaks Over Threshold IV Topics in Hydrology and Environmental Sciences 14 Flood Frequency Analysis 15 Environmental Sciences V Topics in Finance and Insurance 16 Extreme Returns in Asset Prices 17 The Impact of Large Claims on Actuarial Decisions VI Topics in Material and Life Sciences 18 Material Sciences 19 Life Science Appendix: First Steps towards Xtremes and StatPascal A The Menu System B The StatPascal Programming Language Author Index Subject Index Bibliography