Statistical Modelling of Multivariate Extreme Values
Official Course Description
- LTH Course Description (SV)
- NF Course Description (SV)
- LTH Course Description (EN)
- NF Course Description (EN)
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.
- Autumn, second half 2020 : Stand-alone Courses, Engineering Physics, Industrial Engineering and Management, Master's Program in Mathematical Statistics, Engineering Mathematics