Summary

Modelling of rare events, such as stock market crashes, storms and catastrophic structural failures, is important. This course will describe the special models and methods that are relevant to such modelling, including the mathematical bases, statistical tools and applications.

Content

Learning Prerequisites

Important concepts to start the course

Probability and statistics at the level of second-year bachelor (mathematics), plus further knowledge of statistics and stochastic processes.

Learning Outcomes

By the end of the course, the student must be able to:

• Recognize situations where statistical analysis of extrema is appropriate
• Manipulate mathematical objects related to the study of extrema
• Analyze empirical data on extremes using appropriate statistical methods
• Construct appropriate statistical models for extremal data
• Interpret such models in terms of underlying phenomena
• Infer properties of real systems in terms of probability models for extremes

Teaching methods

Lectures, theoretical and computational exercises in class and at home.

Assessment methods

Mini-project, final exam.

Dans le cas de l'art. 3 al. 5 du Règlement de section, l'enseignant décide de la forme de l'examen qu'il communique aux étudiants concernés.

Supervision

Resources

Bibliography

Coles, S. G. (2001)  An Introduction to the Statistical Modelling of Extreme Values.  Springer.

Beirlant, J,  Goegebeur. Y., Teugels. J. and Segers. J. (2004) Statistics of Extremes: Theory and Applications.  Wiley.