[Matematisk statistik] [Matematikcentrum] [Lunds tekniska högskola] [Lunds universitet]
[Övriga kurser]

FMSN15/MASM23: Statistical Modeling of Multivariate Extremes


General information:

Submission of reports for computer assignments

Please note that all reports should be sent as an attachment to the e-mail address specified in the computer assignment. You should follow the following instructions when you submit your report:

The subject row must be formatted as follows:

The syntax for the subject row is: (any text) (activity name) (by|av) (student user name) (and|och) (non digit letter) (student user name)

example: "re:Assignment 3 by d08xhj, d08gp3, and d08fjh", or "Assignment 3 av d08xhj d08gp3 och d08fjh"

NOTE! short activity names might match a user name and cause a parse error, example: activities in the course: D0, R the subject "R by d0ab, d0cd" will give the match: ignored chars: "report by", matched activity: "d0", users: "ab", "d0cd"


During the course we will use material presented in various papers. The following books will be the main references:

  1. An Introduction to Copulas. Roger B. Nelsen. This book is available as e-book here.
  2. 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.
  1. Leadbetter, M.R., Lindgren, G. and Rootzen, H. (1983) Extremes and Related Properties of Random Sequences and Processes, Berlin: Springer-Verlag.
  2. Resnick, S.I. (1987) Extreme values, Regular Variation and Point Processes, Berlin: Springer-Verlag.
  3. Embrechts P. , Kluppelberg C., Mikosch T. (1997) Modelling Extremal Events , Berlin: Springer-Verlag.

Some useful links

Last modified: Wed Sep 6 23:47:39 GMT 2017