Extreme value theory
BMETE95MM16
2019/20. 2nd semester


Classes: Wed 12.15-13.45 H45A (before the distance learning period)

Evaluation

The evaluation rules have been changed due to the introduction of distance learning at BME. The new rules are the following:
Three homework assignments are given during the semester with three exercises each. Each exercises is worth 3 points, 27 points can be collected in total which is scaled by 1.5 in the end yielding 30% of the final score. No minimal requirement is imposed. Problems and dealines are below at the exercises.
An oral exam is held in the examination period giving 70% of the final score. In the exam, both theory and exercises can be asked with roughly equal weights. The theoretical part is what was covered in the lectures, possible exercises are the ones from the list below and its variants.

Exercises

Distance learning information

Distance learning videos

Content of lectures

Hand-written lecture notes

  1. Domains of attraction for sums, stable laws
  2. Limit laws for normalized maxima, max-stable laws
  3. Fisher-Tippett theorem
  4. Maximum domains of attraction
  5. Generalized extreme value (GEV) distributions, kth largest maxima, records
  6. Multivariate extreme value distributions
2016 lecture notes in one file

Literature