Conditional Extremes and Near-extremes
Conditional Extremes and Near-extremes

Author: Victor V. Chernozhukov

Publisher:

Published: 2000

Total Pages: 244

ISBN-13:

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This paper develops a theory of high and low (extremal) quantile regression: the linear models, estimation, and inference. In particular, the models coherently combine the convenient, flexible linearity with the extreme-value-theoretic restrictions on tails and the general heteroscedasticity forms. Within these models, the limit laws for extremal quantile regression statistics are obtained under the rank conditions (experiments) constructed to reflect the extremal or rare nature of tail events. An inference framework is discussed. The results apply to cross-section (and possibly dependent) data. The applications, ranging from the analysis of babies' very low birth weights, (S, s) models, tail analysis in heteroscedastic regression models, outlier-robust inference in auction models, and decision-making under extreme uncertainty, provide the motivation and applications of this theory. Keywords: Quantile regression, extreme value theory, tail analysis, (S, s) models, auctions, price search, Extreme Risk. JEL Classifications: C13, C14, C21, C41, C51, C53, D21, D44, D81.

Statistical Analysis of Extreme Values
Statistical Analysis of Extreme Values

Author: Rolf-Dieter Reiss

Publisher: Springer Science & Business Media

Published: 2007-06-21

Total Pages: 516

ISBN-13: 3764372303

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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.

Statistics of Extremes
Statistics of Extremes

Author: Jan Beirlant

Publisher: John Wiley & Sons

Published: 2004-10-15

Total Pages: 516

ISBN-13: 9780471976479

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Research in the statistical analysis of extreme values has flourished over the past decade: new probability models, inference and data analysis techniques have been introduced; and new application areas have been explored. Statistics of Extremes comprehensively covers a wide range of models and application areas, including risk and insurance: a major area of interest and relevance to extreme value theory. Case studies are introduced providing a good balance of theory and application of each model discussed, incorporating many illustrated examples and plots of data. The last part of the book covers some interesting advanced topics, including time series, regression, multivariate and Bayesian modelling of extremes, the use of which has huge potential.

Economic Applications of Quantile Regression
Economic Applications of Quantile Regression

Author: Bernd Fitzenberger

Publisher: Springer Science & Business Media

Published: 2013-03-09

Total Pages: 325

ISBN-13: 3662115921

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Quantile regression has emerged as an essential statistical tool of contemporary empirical economics and biostatistics. Complementing classical least squares regression methods which are designed to estimate conditional mean models, quantile regression provides an ensemble of techniques for estimating families of conditional quantile models, thus offering a more complete view of the stochastic relationship among variables. This volume collects 12 outstanding empirical contributions in economics and offers an indispensable introduction to interpretation, implementation, and inference aspects of quantile regression.

Attribution of Extreme Weather Events in the Context of Climate Change
Attribution of Extreme Weather Events in the Context of Climate Change

Author: National Academies of Sciences, Engineering, and Medicine

Publisher: National Academies Press

Published: 2016-07-28

Total Pages: 187

ISBN-13: 0309380979

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As climate has warmed over recent years, a new pattern of more frequent and more intense weather events has unfolded across the globe. Climate models simulate such changes in extreme events, and some of the reasons for the changes are well understood. Warming increases the likelihood of extremely hot days and nights, favors increased atmospheric moisture that may result in more frequent heavy rainfall and snowfall, and leads to evaporation that can exacerbate droughts. Even with evidence of these broad trends, scientists cautioned in the past that individual weather events couldn't be attributed to climate change. Now, with advances in understanding the climate science behind extreme events and the science of extreme event attribution, such blanket statements may not be accurate. The relatively young science of extreme event attribution seeks to tease out the influence of human-cause climate change from other factors, such as natural sources of variability like El Niño, as contributors to individual extreme events. Event attribution can answer questions about how much climate change influenced the probability or intensity of a specific type of weather event. As event attribution capabilities improve, they could help inform choices about assessing and managing risk, and in guiding climate adaptation strategies. This report examines the current state of science of extreme weather attribution, and identifies ways to move the science forward to improve attribution capabilities.

The Climatology of Air-Mass and Frontal Extreme Precipitation
The Climatology of Air-Mass and Frontal Extreme Precipitation

Author: Ewa Łupikasza

Publisher: Springer

Published: 2016-08-08

Total Pages: 322

ISBN-13: 3319314785

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Based on a data series of more than 50 years, this book discusses spatial and seasonal variability in air-mass and frontal extreme precipitation frequency and as well as the relationship between their occurrence and atmospheric circulation. The climatology of air-mass and frontal extreme precipitation is presented for the first time on a European scale. Since there is no robust, automatic method of locating atmospheric fronts, this challenging task has to be performed manually. Moreover, there is limited availability of the complex sub-daily data that is necessary to recognize the dynamic of meteorological fronts. The results show a clear regional and seasonal variety in the relationship between extreme precipitation occurrence and atmospheric circulation depending on precipitation origin. The probability of air-mass and frontal precipitation occurrence provides crucial information for studies in predictability and modeling. This book is intended for students, specialists in the field of climatology and climate change, climate process modelers, and other experts for whom extreme precipitation is important.x

Marine Design XIII
Marine Design XIII

Author: Pentti Kujala

Publisher: CRC Press

Published: 2018-06-11

Total Pages: 1160

ISBN-13: 1351010034

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Marine Design XIII collects the contributions to the 13th International Marine Design Conference (IMDC 2018, Espoo, Finland, 10-14 June 2018). The aim of this IMDC series of conferences is to promote all aspects of marine design as an engineering discipline. The focus is on key design challenges and opportunities in the area of current maritime technologies and markets, with special emphasis on: • Challenges in merging ship design and marine applications of experience-based industrial design • Digitalisation as technological enabler for stronger link between efficient design, operations and maintenance in future • Emerging technologies and their impact on future designs • Cruise ship and icebreaker designs including fleet compositions to meet new market demands To reflect on the conference focus, Marine Design XIII covers the following research topic series: •State of art ship design principles - education, design methodology, structural design, hydrodynamic design; •Cutting edge ship designs and operations - ship concept design, risk and safety, arctic design, autonomous ships; •Energy efficiency and propulsions - energy efficiency, hull form design, propulsion equipment design; •Wider marine designs and practices - navy ships, offshore and wind farms and production. Marine Design XIII contains 2 state-of-the-art reports on design methodologies and cruise ships design, and 4 keynote papers on new directions for vessel design practices and tools, digital maritime traffic, naval ship designs, and new tanker design for arctic. Marine Design XIII will be of interest to academics and professionals in maritime technologies and marine design.

Extreme Value Theory with Applications to Natural Hazards
Extreme Value Theory with Applications to Natural Hazards

Author: Nicolas Bousquet

Publisher: Springer Nature

Published: 2021-10-09

Total Pages: 491

ISBN-13: 3030749428

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This richly illustrated book describes statistical extreme value theory for the quantification of natural hazards, such as strong winds, floods and rainfall, and discusses an interdisciplinary approach to allow the theoretical methods to be applied. The approach consists of a number of steps: data selection and correction, non-stationary theory (to account for trends due to climate change), and selecting appropriate estimation techniques based on both decision-theoretic features (e.g., Bayesian theory), empirical robustness and a valid treatment of uncertainties. It also examines and critically reviews alternative approaches based on stochastic and dynamic numerical models, as well as recently emerging data analysis issues and presents large-scale, multidisciplinary, state-of-the-art case studies. Intended for all those with a basic knowledge of statistical methods interested in the quantification of natural hazards, the book is also a valuable resource for engineers conducting risk analyses in collaboration with scientists from other fields (such as hydrologists, meteorologists, climatologists).

Extreme Events in Finance
Extreme Events in Finance

Author: Francois Longin

Publisher: John Wiley & Sons

Published: 2016-10-17

Total Pages: 638

ISBN-13: 1118650190

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A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector Presenting a uniquely accessible guide, Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance and a practical understanding of market behavior including both ordinary and extraordinary conditions. Beginning with a fascinating history of EVTs and financial modeling, the handbook introduces the historical implications that resulted in the applications and then clearly examines the fundamental results of EVT in finance. After dealing with these theoretical results, the handbook focuses on the EVT methods critical for data analysis. Finally, the handbook features the practical applications and techniques and how these can be implemented in financial markets. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications includes: Over 40 contributions from international experts in the areas of finance, statistics, economics, business, insurance, and risk management Topical discussions on univariate and multivariate case extremes as well as regulation in financial markets Extensive references in order to provide readers with resources for further study Discussions on using R packages to compute the value of risk and related quantities The book is a valuable reference for practitioners in financial markets such as financial institutions, investment funds, and corporate treasuries, financial engineers, quantitative analysts, regulators, risk managers, large-scale consultancy groups, and insurers. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications is also a useful textbook for postgraduate courses on the methodology of EVTs in finance.