Teacher:
Nader Tajvidi
Literature
During the course we will use material presented in various
papers. The
following books will be the main references:
- An Introduction to Copulas. Roger
B. Nelsen. This book is available as
e-book here.
- Statistics of Extremes: Theory and
Applications. Jan Beirlant, Yuri Goegebeur, Johan
Segers, Jozef Teugels, with contributions from Daniel De Waal,
Chris Ferro. This book is available as a reference book at
Mathematics library. It is also available to the students and
staff of Lund University as ebook
at Wiley
Series in Probability and Statistics.
Please note
that you need to use
your STIL/Lucat account in order to get access to these
books.
Other literature references
The follwing books are recommended to those students who are more interested in
rather mathematical presentation of extreme value theory.
- Leadbetter, M.R., Lindgren, G. and Rootzen, H. (1983) Extremes and Related Properties of Random Sequences and
Processes, Berlin: Springer-Verlag.
- Resnick, S.I. (1987) Extreme values, Regular Variation
and Point
Processes, Berlin: Springer-Verlag.
- Embrechts P. , Kluppelberg C., Mikosch T. (1997)
Modelling Extremal Events , Berlin: Springer-Verlag.
Some useful links