WILEY

KULeuven

• Chapter 1: Why Extreme Value Theory?
  
• Chapter 2: The Probabilistic Side of Extreme Value Theory
  
• Chapter 3: Away from the Maximum
  
• Chapter 4: Tail Estimation under Pareto-type Models
  
• Chapter 5: Tail Estimation for all Domains of Attraction
  
• Chapter 6: Case Studies
  
• Chapter 7: Regression Analysis
  
• Chapter 8: Multivariate Extreme Value Theory
  
• Chapter 9: Statistics of Multivariate Extremes
  
• Chapter 10: Extremes of Stationary Time Series
  
• Chapter 11: Bayesian Methodology in Extreme Value Statistics
  

• ParetoQQ.SSC -- Pareto quantile plot (S-Plus).
  
  
• MeanExcess.SSC -- Mean excess function, e_{k,n} (S-Plus).
  
  
• MEF.FOR -- Mean excess function, e_{k,n} (Fortran).
  

• ZAVENTEM.TXT -- Zaventem wind speed data. Variable: daily maximal wind speed.
  
  
• NORWEGIANFIRE.TXT -- Norwegian fire claim data. Variables: claim size, year.
  
  
• MAASMAX.TXT -- Annual maximal river discharges of the Meuse. Variables: maximal discharge, year.
  
  
• ALBUQ.TXT -- Albuquerque wind speed data. Variable: daily fastest-mile wind speed.
  
  
• DESMOIN.TXT -- Des Moines wind speed data. Variable: daily fastest-mile wind speed.
  
  
• GRANDRAP.TXT -- Grand Rapids wind speed data. Variable: daily fastest-mile wind speed.
  
  
• ECAD00045TX.TXT -- Daily maximum temperatures at Uccle. Variables: ID, date, daily maximum temperature in 0.1°C, quality code.
  
  
• SECURA1.TXT -- Secura Belgian Re data. Variables: year, claim size.
  
  
• SOA.TXT -- SOA Group Medical Insurance Large Claims Database. Variable: 1991 claim data.
  
  
• AON.TXT -- AON Re Belgium data. Variables: building type, claim size, sum insured (*1000).
  
  
• LOSSDATA.TXT -- Loss-ALAE data of Freez and Valdez. Variables: loss, ALAE, limit, censored.
  
  
• SP500.TXT -- Standard & Poors 500 time series. Variables: date, quote.
  
  
• EARTHQUAKE.TXT -- Pisarenko and Sornette earthquake data. Variables: seismic moment, zone (1=subduction,2=midocean ridge).
  
  
• NIS61072.TXT -- Condroz data. Variables: Calcium, pH value.
  
  
• DIAMOND.TXT -- Diamond data. Variables: value, size.
  
  
• T7341.TXT -- Surface diameters of inclusions in steel. Variable: diameter.
  

Up

• MAASMAX.TXT -- Annual maximal river discharges of the Meuse. Variables: maximal discharge, year.
  

Up

Up

• Hill.SSC -- Hill estimator (S-Plus).
  
  
• Hill2oQV.SSC -- Bias reduced maximum likelihood estimator, quantile view (S-Plus).
  
  
• Hill2oPV.SSC -- Bias reduced maximum likelihood estimator, probability view (S-Plus).
  
  
• Hillkopt.SSC -- Optimal threshold Hill estimator based on minimizing AMSE (S-Plus).
  
  
• Zipf.SSC -- Zipf estimator (S-Plus).
  
  
• WeissmanQ.SSC -- Weissman extreme quantile estimator (S-Plus).
  
  
• WeissmanQ2oQV.SSC -- Second order refined extreme quantile estimator, quantile view (S-Plus).
  
  
• WeissmanQ2oPV.SSC -- Second order refined extreme quantile estimator, probability view (S-Plus).
  
  
• WeissmanP.SSC -- Weissman small return period estimator (S-Plus).
  
  
• WeissmanP2oQV.SSC -- Second order refined small return period estimator, quantile view (S-Plus).
  
  
• WeissmanP2oPV.SSC -- Second order refined small return period estimator, probability view (S-Plus).
  
  
• HILL.FOR -- Hill estimator (Fortran).
  
  
• MLERMPOS.FOR -- Bias reduced maximum likelihood estimator, quantile view (Fortran).
  

• SOA.TXT -- SOA Group Medical Insurance Large Claims Database. Variable: 1991 claim data.
  

Up

• POT.SSC -- Peaks-Over-Threshold method (S-Plus).
  
  
• ERM.SSC -- Estimator based on an Exponential Regression Model (S-Plus).
  
  
• Moment.SSC -- Moment estimator (S-Plus).
  
  
• GeneralizedQQ.SSC -- Generalized quantile plot (S-Plus).
  
  
• genHill.SSC -- Generalized Hill estimator (S-Plus).
  
  
• genZipf.SSC -- Generalized Zipf estimator (S-Plus).
  
  
• ProbPV.SSC -- Small return period estimator, probability view (S-Plus).
  
  
• ProbQV.SSC -- Small return period estimator, quantile view (S-Plus).
  
  
• QuantPV.SSC -- Extreme quantile estimator, probability view (S-Plus).
  
  
• QuantQV.SSC -- Extreme quantile estimator, quantile view (S-Plus).
  
  
• EndPV.SSC -- Endpoint estimator, probability view (S-Plus).
  
  
• EndQV.SSC -- Endpoint estimator, quantile view (S-Plus).
  
  
• TSFraction.SSC -- Least Squares estimator to adaptive selection of tail sample fraction (S-Plus).
  
  
• PICKANDS.FOR -- Pickands estimator.
  
  
• MOM.FOR -- Moment estimator.
  
  
• UH.FOR -- UH statistics, coordinates for generalized quantile plot.
  
  
• GENHILL.FOR -- Generalized Hill estimator.
  
  
• UHREGRESSION.FOR -- Least squares estimator of gamma based on generalized quantile plot.
  
  
• GPDML.FOR -- Maximum likelihood for the GPD.
  
  
• GPDPWM.FOR -- MOM and PWM estimates for the GPD.
  
  
• MLERMREAL.FOR -- Maximum likelihood for exponential regression model, real-valued evi.
  

• MAASMAX.TXT -- Annual maximal river discharges of the Meuse. Variables: maximal discharge, year.
  
  
• ALBUQ.TXT -- Albuquerque wind speed data. Variable: daily fastest-mile wind speed.
  
  
• DESMOIN.TXT -- Des Moines wind speed data. Variable: daily fastest-mile wind speed.
  
  
• GRANDRAP.TXT -- Grand Rapids wind speed data. Variable: daily fastest-mile wind speed.
  
  
• SOA.TXT -- SOA Group Medical Insurance Large Claims Database. Variable: 1991 claim data.
  

Up

• NIS61072.TXT -- Condroz data. Variables: Calcium, pH value.
  
  
• SECURA1.TXT -- Secura Belgian Re data. Variables: year, claim size.
  
  
• EARTHQUAKE.TXT -- Pisarenko and Sornette earthquake data. Variables: seismic moment, zone (1=subduction,2=midocean ridge).
  

Up

• GEVHALL.FOR -- Maximum likelihood for GEV-Hall regression model.
  
  
• ERMCOVML.FOR -- Maximum likelihood for exponential regression model of log-spacings, evi covariate dependent.
  
  
• GPDCOVML.FOR -- Maximum likelihood for GPD-based regression.
  
  
• GPDPENML.FOR -- Maximum penalized likelihood estimation for GPD.
  
  
• GPDLOCALML.FOR -- Local polynomial maximum likelihood estimation for GPD.
  

• NIS61072.TXT -- Condroz data. Variables: Calcium, pH value.
  
  
• DIAMOND.TXT -- Diamond data. Variables: value, size.
  
  
• AON.TXT -- AON Re Belgium data. Variables: building type, claim size, sum insured (*1000).
  

Up

Up

Up

Up

• MAASMAX.TXT -- Annual maximal river discharges of the Meuse. Variables: maximal discharge, year.
  
  
• SECURA1.TXT -- Secura Belgian Re data. Variables: year, claim size.
  
  
• CTWIND.TXT -- Cape Town wind data. Variables: harbour, airport, Robben Island.
  

Up