Introduction to Extreme Value Theory and its applications

Room 1.08 DMat.
Friday, 2 March, 2012 - 11:30

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