Chapter

Extreme Value Statistics

Ray Huffaker, Marco Bittelli and Rodolfo Rosa

in Nonlinear Time Series Analysis with R

Published in print September 2017 | ISBN: 9780198782933
Published online February 2018 | e-ISBN: 9780191826153 | DOI: https://dx.doi.org/10.1093/oso/9780198782933.003.0011
Extreme Value Statistics

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This Capstone chapter illustrates how concepts in the book come together to diagnose real-world dynamics from observed time series data. In particular, we apply NLTS to diagnose multi-strain infectious disease dynamics from weekly cases of scarlet fever, measles, and pertussis in New York during the pre-vaccine period 1924-1948.

Keywords: extreme value statistics; noise; exceedances; Generalized Pareto Distribution; quantiles; return-level plots

Chapter.  1875 words.  Illustrated.

Subjects: Mathematical and Statistical Physics

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