Publications: Books

Here are some books about the statistics of extreme values, in reverse chronological order and with descriptions in blue.

Ferreira A, de Haan L (2006) Extreme Value Theory. Springer.
Detailed mathematical treatment of the probability and statistical theory of extremes.

Castillo E, Hadi AS, Balakrishnan N, Sarabia JM (2004) Extreme Value and Related Models with Applications in Engineering and Science. Wiley.
Basic introduction to the application of extreme-value theory and models in a range of examples.

Beirlant J, Goegebeur Y, Segers J and Teugels J (2004) Statistics of Extremes: Theory and Applications. Wiley.
Detailed explanation of the theory and many data examples illustrating statistical methods, including regression, multivariate, time-series and Bayesian modelling.

Finkenstadt B and Rootzen H (2003) Extreme Values in Finance, Telecommunications and the Environment. Chapman and Hall/CRC Press.
An edited collection of lectures delivered at a workshop in Gothenburg, Sweden in 2001.

Coles S (2001) An Introduction to Statistical Modeling of Extreme Values. Springer-Verlag.
A clear introduction to the key results and methods for practitioners and those new to the subject.

Reiss R-D and Thomas M (2001) Statistical Analysis of Extreme Values: with Applications to Insurance, Finance, Hydrology and Other Fields. 2nd Edition. Birkhauser.
An introduction to statistical methods with many examples from the listed applications.

Kotz S and Nadarajah S (2000) Extreme Value Distributions: Theory and Applications. Imperial College Press.
A compendium of definitions and results for univariate and multivariate extreme-value distributions.

Adler RJ, Feldman RE and Taqqu MS (1998) A Practical Guide to Heavy Tails: Statistical Techniques and Applications. Birkhauser.
An edited collection of contributed chapters in two parts: network traffic and finance applications, and methods for stable time series.

Embrechts P, Kluppelberg C and Mikosch T (1997) Modelling Extremal Events for Insurance and Finance. Springer.
A comprehensive treatment of the key results and an introduction to statistical methods. Includes a chapter on the extremes of heavy-tailed process.

Falk M, Husler J and Reiss R-D (1994) Laws of small numbers: extremes and rare events. Birkhauser.
Mainly concerned with point-process theory for extremes.

Galambos J, Lechner J and Simiu E (1994) Extreme Value Theory and Applications. Kluwer Academic Publishers.
Proceedings from the Conference on Extreme Value Theory and Applications held in Gaithersburg, Maryland, USA in 1993.

Castillo E (1988) Extreme Value Theory in Engineering. Academic Press.
An overview of some of the key results for univariate and multivariate extremes.

Galambos J (1987) The Asymptotic Theory of Extreme Order Statistics. 2nd Edition. Krieger.

Resnick SI (1987) Extreme Values, Regular Variation, and Point Processes. Springer-Verlag.
A rigorous treatment of the topics listed in the title. Especially useful for the theory of multivariate extremes.

Tiago de Oliveira J (1984) Statistical Extremes and Applications. Kluwer Academic Publishers.
An edited collection of papers.

Leadbetter MR, Lindgren G and Rootzen H (1983) Extremes and Related Properties of Random Sequences and Process. Springer-Verlag.
A rigorous treatment of univariate extreme-value theory.

Gumbel EJ (1958) Statistics of Extremes. Columbia University Press.
The original and classic text.

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