INTRODUCTION TO EXTREME VALUE THEORY AND ITS APPLICATIONS

 

Area Statistics Modeling and Computational Applications
Abstract

In this lecture, we will present a brief introduction to Extreme Values. We will start by the classical theory, the extremal types theorem, the domains of attraction, their connection with the tail of the distribution. Then we will address the dependent case, the possible appearance of clustering and the extremal index. Finally, we will talk about the tail index, its estimation and its applications.

   
Speaker Jorge Freitas
   
Date and place 2012-03-02 11:30
Room 1.08 DMat.
Information
   
Director Sónia Gouveia, João Nuno Tavares