Veranstaltungen
Vorlesung
Statistical Modeling of Extremes
- Name im Diploma Supplement
- Statistical Modeling of Extremes
- Anbieter
- Lehrstuhl für Ökonometrie
- Lehrperson
- Prof. Dr. Christoph Hanck, Prof. Dr. Yannick Hoga
- SWS
- 2
- Sprache
- englisch
- Turnus
- unregelmäßig
- maximale Hörerschaft
- unbeschränkt
- Hörerschaft
empfohlenes Vorwissen
Knowledge of basic econometric concepts such as communicated in our bachelor and master courses “Einführung in die Ökonometrie" and “Methoden der Ökonometrie“ as well as good working knowledge of mathematical statistics.
Lehrinhalte
- Models for maxima
- Peaks over threshold
- Extremes of dependent sequences
- Extremes of non-stationary sequences
- Multivariate extremes
Literaturangaben
- Hayashi, F. (2000). Econometrics. Princeton: Princeton Univ. Press.
- Gumbel (1958) Statistics of Extremes, Columbia University Press
- Coles (2001) An Introduction to Statistical Modeling of Extreme Values, Springer
- Beirlant, Goegebeur, Segers and Teugels (2004) Statistics of Extremes: Theory and Applications, Wiley
- Finkenstädt and Rootzén (2004) Extreme Values in Finance, Telecommunications and the Environment, CRC
- de Haan and Ferreira (2006) Extreme Value Theory: An Introduction, Springer
- Reiss and Thomas (2007) Statistical Analysis of Extreme Values with Applications to Insurance, Finance, Hydrology and Other Fields, Birkhäuser
didaktisches Konzept
Classes are organized around traditional lectures. Students are however expected to contribute intensively through active discussion. Lectures are complemeted via, e.g., illustrations in R, joint interactive programming to better understand the statistical concepts as well as comprehensive problem sets to deepen students’ proficiency.