Laws Of Small Numbers: Extremes And Rare Events

Rating:
Summary: first text to provide software for implementation of theory
Review: This book provides a nice introduction to the mathematical theory of rare events and extreme values. It takes the point process approach to rare events using the empirical point process defined by the crossing of a high or low level to employ an approximate Poisson process. This approach has broad applicability and the authors use it to consider rare and extreme events for stochastic processes including Gaussian processes, Poisson point processes, extreme value models and nonparametric regression.

This book is noteworthy for its mix of theory and application and for the introduction of the software XTREMES. Chapter 6 is devoted to explaining how to analyze data for extremes using the software XTREMES. A diskette is included with the text with version 1.2 of XTREMES that is an interactive program that can run on MS-DOS operated computers. The text is very much up-to-date on the theoretical developments as of 1994.