STAT 380 Statistics of Extremes



This advanced statistics course aims at providing a rather deep understanding of Extreme-Value Theory results, models, and methods, as well as some experience in the practical application of these tools to real data using the statistical software R. Theoretical and practical aspects will be covered. Topics covered include (a) Univariate Extreme- Value Theory: Extremal-Types Theorem; GEV distribution; return levels; Domains of attraction; Threshold-based methods; GPD distribution; Point process representation; r-largest order statistics approach; Likelihood inference; Modelling of non-stationarity; Dependent time series; Clustering and declustering approaches. (b) Multivariate Extreme-Value Theory: Modelling of componentwise maxima; Spectral representation; Parametric models; Dependence measures; Asymptotic dependence/independence; Threshold methods; Likelihood-based inference. (c) Spatial Extremes: Gaussian processes; correlation functions; Max- stable processes and models.
Course period01/28/18 → …
Course level300