ST803: Extreme Value Statistics (5 ECTS)

STADS: 25001901

Level
Master's level course

Teaching period
The course is offered in the autumn semester.
The course is offered when needed.

Teacher responsible
Email: yuri.goegebeur@stat.sdu.dk

Timetable
Show entire timetable
Show personal time table for this course.

Comment:
Ubegrænset deltagerantal. 3. kvartal.

Prerequisites:
None

Academic preconditions:
The content of the courses ST502 Statistical Modeling and ST505 Statistical Simulation must be known. Having followed the course MM506 Probability Theory I is an advantage.

Course introduction
To study the convergence results in extreme value theory, and to use these to develop estimators for tail properties.

Expected learning outcome
At the end of the course the student is able to:

• reproduce the theoretical results concerning the convergence of maxima and excesses over a threshold
• verify if a distribution is in the domain of attraction of the generalized extreme value distribution
• verify if a distribution function satisfies the second order condition on tail behavior
• describe the principles of tail index estimation and extreme quantile estimation, and to apply these in a given practical setting
• perform programming relevant to the content of the course in the statistical package used in the course
• identify and interpret relevant information in the output of the statistical package used in the course
• summarize the results of an extreme value analysis in a statistical report

Subject overview
Graphical tools for tail analysis, order statistics, convergence of normalized sample maxima, domain of attraction of the generalized extreme value distribution, convergence of excesses over thresholds, the generalized Pareto distribution, second order tail behavior, estimation of the tail index, extremes in regression analysis.

Literature

• Meddeles ved kursets start..

Syllabus
See syllabus.

Website
This course uses e-learn (blackboard).

Prerequisites for participating in the exam
None

Assessment and marking:
a) Mandatory assignment, pass/fail, internal evaluation by the teacher. The mandatory assignment must be passed for the student to take the oral exam.
b) Oral exam, Danish 7-point scale, internal examiner.

A project is made during the course, which results in the oral exam at the end of the course. During the course the student must make a mandatory assignment consisting of a presentation of a scientific article.

The re-exam takes place according to the rules decided by the Study Board.

Expected working hours
The teaching method is based on three phase model.

Forelæsninger: 28 timer
Eksaminatorietimer: 10 timer
Laboratorieøvelser: 8 timer.
Educational activities

Language
This course is taught in Danish or English, depending on the lecturer. However, if international students participate, the teaching language will always be English.

Course enrollment
See deadline of enrolment.

Tuition fees for single courses
See fees for single courses.