Science is not merely the smooth progressive interaction of hypothesis, experiment and
theory, although it sometimes has that form. More realistically the scientific study of any …

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 …

This comprehensive text gives an interesting and useful blend of the mathematical,
probabilistic and statistical tools used in heavy-tail analysis. Heavy tails are characteristic of …

Multivariate extreme value theory and methods concern the characterization, estimation and
extrapolation of the joint tail of the distribution of ad-dimensional random variable. Existing …

Cumulative broadband network traffic is often thought to be well modeled by fractional
Brownian motion (FBM). However, some traffic measurements do not show an agreement …

Because of its potential to... predict the unpredictable,... extreme value theory (EVT) and
methodology is currently receiving a great deal of attention from statistical and mathematical …

In this paper, we provide a tutorial on multivariate extreme value methods which allows to
estimate the risk associated with rare events occurring jointly. We draw particular attention to …

Intermediate Probability is the natural extension of the author's Fundamental Probability. It
details several highly important topics, from standard ones such as order statistics …

The present book offers a detailed treatment of perturbed random walks, perpetuities, and
random processes with immigration. These objects are of major importance in modern …

In this paper we analyze the asymptotic properties of the popular distribution tail index
estimator by Hill (1975) for dependent, heterogeneous processes. We develop new extremal …