Statistical Modelling of Extreme Values
Statistisk modellering av extremvärden

FMS155F, 7.5 credits

Valid from: Spring 2014
Decided by: FN1/Anders Gustafsson
Date of establishment: 2014-01-19

General Information

Division: Mathematical Statistics
Course type: Course given jointly for second and third cycle
The course is also given at second-cycle level with course code: FMS155
Teaching language: English

Aim

The course aims to give theoretical knowledge in mathematical modelling of extreme events and discusses in detail how the theory can be applied in practice. Extreme values are of interest in, e.g., economics, safety and reliability, insurance mathematics, hydrology, meteorology, environmental sciences, and oceanography, as well as branches in statistics such as sequential analysis and robust statistics. The theory is used, e.g., for flood monitoring, construction of oil rigs, and calculation of insurance premiums for re-insurance of storm damage. Often extreme values can lead to very large consequences, both financial and in the loss of life and property. At the same time the experience of really extreme events is lways very limited. Extreme value statistics is therefore forced to difficult and uncertain extrapolations, but is, none the less, necessary in order to use available experience in order to solve important problems.

Goals

Knowledge and Understanding

For a passing grade the doctoral student must

• Be familiar with the fundamental results in univariate extreme value analysis.
• Be able to describe the fundamental statistical methods of extreme value theory.
• Understand the mathematical theory behind the methods and implications of the assumptions made in order to develop the theory, as well as understand the impact of these assumptions on application of theory.
• Be able to describe the differences between the univariate and multivariate extreme value theory.
• Know where to find more information about those models which have been discussed in detail in the course.

Competences and Skills

For a passing grade the doctoral student must

• Be able to identify those situations where extreme value theory can be used.
• Know which computer packages are available for application of theory and also know how to use those discussed in the course.
• Be able to estimate and predict extreme events in the univariate case.
• Be able to explain the mathematical models and statistical methods for extreme value analysis.
• Be able to explain what type of data is needed in order to apply the theory.
• Be able to assess whether the theory can be used on a specific problem.
• Be able to give some examples of application of the theory.
• Be able to explain, step by step, how the theory can be applied.

Course Contents

Extreme value theory concerns mathematical modelling of random extreme events. Recent development has introduced mathematical models for extreme values and statistical methods for them. Different courses of action for modelling of extreme values are discussed and guidance is given as to how the models can be modified to fit different practical situations. The students should also learn about more advanced models for extreme value analysis, including extreme values for non-stationary processes. The course will present the fundamental statistical methods for extreme value analysis, discuss examples of applications, i.a., regarding floods, storm damage, human life expectancy, and corrosion, provide practical use of the models, and point to some open problems and possible developments.

Course Literature

Coles, S.: An Introduction to Statistical Modeling of Extreme Values. Springer, 2001. ISBN 9781852334598.

Instruction Details

Types of instruction: Lectures, laboratory exercises, exercises

Examination Details

Examination formats: Written exam, written assignments
Grading scale: Failed, pass
Examiner:

Admission Details

Course Occasion Information

Contact and Other Information

Course coordinator: Nader Tajvidi <nader.tajvidi@matstat.lu.se>