[Matematisk statistik]
[Matematikcentrum]
[Lunds tekniska högskola]
[Lunds universitet]
[Övriga kurser]
Credits:
7.5hp/7.5 ECTS
credits.
Course Description:
Extreme value theory concerns mathematical
modelling of extreme events. Recent developments have introduced
very flexible and theoretically well motivated semi-parametric
models for extreme values which now are at the stage where they can
be used to address important technological problems on handling
risks in areas such as wind engineering, hydrology, flood monitoring
and prediction, climatic changes, structural reliability, corrosion
modelling, and large insurance claims or large fluctuations in
financial data (volatility). In many applications of extreme-value
theory, predictive inference for unobserved events is the main
interest. One wishes to make inference about events over a time
period much longer than that for which data are available. For
example, insurance companies are interested in the maximum amount of
claims due to storm damage during, say, the next 30 years, based on
data from the past 10-15 years. In bridge design a major factor is
the maximum wind speed that can occur in any direction during the
life of the bridge. However, the dataset used to estimate a return
value for high wind speeds is often recorded over a much shorter
time period than the expected lifetime of the bridge.
Statistical modelling of extreme events has been subject of much
practical and theoretical work in the last few years. The course
will give an overview of a
number of different topics in modern extreme value thoery including
the following topics:
Language:
The course will be given in English.
Requirements:
Mathematical Statistics, basic course.
Time period in spring 2012:
Reading period 4.
Exams in 2013 ( Please check the central exam schedule
here for possible changes in the scheduled exams
at LTH.
)
Allowed aids in the exam:
You can order the book from any internet bookstore, see for example prispallen which compares the prices of different book stores.