Mathematical Sciences

Lund University

Statistical Modelling of Multivariate Extreme Values

Official Course Description

Description

Weak convergence for normalized extreme values of stochastic vectors, different characterisations of multivariate extreme value distributions, "peaks over threshold"-model in the multivariate case, different definitions of multivariate generalized Pareto distributions, statistical inference for multivariate extreme values, parametric and semi-parametric methods for multivariate extreme values, use of copula in modelling extreme values, point process characterisation of extreme values, prediction of extreme values, examples of applications of the theory, e.g., estimation of operational risk, climate changes and wind insurances.

Finished Sessions

Course Information

LTH Code:FMSN15
NF Code: MASM23
Credits:7.5
Level:Advanced Level
Language:English

Prerequisites

CEQ

CEQ - Statistical Modelling of Multivariate Extreme Values