[Lunds tekniska högskola]
FMS155/MASM15: Statistical Modeling of Extreme Values
- Credits: 7.5hp/7.5 ECTS
Requirements: Mathematical Statistics, basic course. Note that the course on probability theory is NOT required; see also the department's home page here for course requirements.
Time period: Study period 4.
- 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:
- Statistical methods for extremal events,
- Some examples of application of the theory in large
insurance claims due to windstorms, flood monitoring and pit corrosion,
- Exercises on detailed ``step-by-step'' use of extreme
value modelling, and
- Discussion of some open problems in the field.
Nader Tajvidi, tfn 046/2229612, e-mail
Language: The course will be given in English.
- Computer assignments: There are three mandatory computer
laboratory sessions in the course. Each computer assignment has
two groups according to
course schedule and you need to register in one group for
each computer session
In order to sign up
for a group you will need your 'STIL'-account so make sure
you have up-to-date information on your account before the
Exams : Please
exams in the Centre for Mathematical Sciences or Lund University's
for scheduled exams. For information on advanced registration for re-take exams
see this page.
Allowed aids in the exam:
- Collection of formulas and tables pdf, ps and Appendix 2 on ``Some distributions and their
- Copy of Chapter 4 entitled ``Order Statistics'' from A. Gut (1995) An Intermediate Course in Probability Theory,
Springer-Verlag, New York.
- Dictionaries for translation.
- Coles S. (2001), An Introduction to Statistical Modeling of Extreme
Values Springer-Verlag London.
Some useful links:
Last modified: Wed Mar 8 16:27:44 GMT 2017