Introductory Course On Statistical Modeling Of Extreme Values

Speaker: 
Hans Wackernagel
Affiliation: 
Equipe de GEOSTATISTIQUE - MINES ParisTech - PSL
Seminar Date: 
31. May 2018 - 10:15 - 1. June 2018 - 15:00
Location: 
Lecture room, Ground Floor, NERSC

Extreme value theory is based on different principles than those
of conventional statistics as it is designed to study and model
exceptional events rather than the average characteristics of
natural phenomena.

This two-day introductory course will start by presenting
exploratory tools to analyze the behavior of extreme values in
geophysical data. This will help to motivate the basic principles
of the statistical modeling of extreme values and the
distributions that characterize them. The two common approaches
for assessing the risk of extreme events at a given level, i.e.
the block maxima and the peak over threshold approach, will then
be introduced and illustrated with real data examples. The
non-stationary and the multivariate extensions of the basic
theory will also be shortly presented, as well as Hawke's
self-exciting point process approach, which is particularly
popular in earthquake modeling.

The R statistical software (freely available at www.r-project.org)
will be used as it contains many easily accessible resources
for studying and modeling extremes.