STA 293 – Special Topics: Extreme Value Theory and Applications

Spring 2009 - Elizabeth Shamseldin

WF 11:40 – 12:55

Synopsis

This course will introduce classical extreme value theory and models, look at Bayesian inference of extremes, and explore applications in environmental statistics and in finance.

Topics

Extremes theory and applications

Threshold models

Bayesian inference of extremes

References

Introductory material and theory will follow the concepts outlined in “An Introduction to Statistical Modeling of Extremes” (2001) by Stuart Coles. (Recommended as supplemental reference material.)

Applications will be considered from relevant papers, such as:

Hill, Bruce M. (1975) A Simple General Approach to Inference About the Tail of a Distribution, The Annals of Statistics, Vol. 3, No. 5, pp. 1163-1174

Coles, S.G. and Tawn, J. A. (1996). A Bayesian analysis of extreme rainfall data. Applied Statistics 45, 463-478.

Additional readings in financial extremes.

Computation

Minimal computation will be required, however a basic understanding of a statistical software such as R or MatLab will be useful.

Mode of Assessment

Students will be assessed based on assignments/small projects which will be in the form of reports delivering computational results and observations from methods discussed throughout the course.