Extreme value theory
BMETE95MM16
2021/22. 2nd semester
Classes: Wed 12.15-13.45 H607
Evaluation
Points can be collected by:
- Homeworks (20%): there are three homework assignments during the semester with three exercises each. Each exercise is worth 3 points, 27 points can be collected in total. No minimal requirement. Problems and dealines see below.
- Midterm test (40%): 4th May 12.15-13.45 H607, 5 problems for 10 points each. Minimal requirement is 40% of 40 points = 16 points. Mainly exercises from the given list or similar and some basic questions in the theoretical part.
- Oral exam or short talk (40%): Oral exam about theory with proofs or 30 minutes short talk on a paper given by the istructor. 40 points can be collected, no minimal requirement.
The final mark is given based on a score between 0 and 100.
Grading scale: A final score between 40 and 54 yields a mark 2, between 55 and 69 is 3, between 70 and 84 is 4 and anything more than 85 is 5.
Exercises, midterm test
Papers for short talk, deadline for signing up: 27th Apr
schedule of talks
Suggestions for short talks:
Each presentation takes 30 minutes.
It is important to explain the concept of the paper without going into technical details.
Most papers cannot be fully explained in 30 minutes, and it is not required.
It is more important to be understandable.
It is suggested to explain the model of the paper and state the main results in the first part of the talk.
Then further expanations, way of proof, methods can follow depending on the topic and the paper.
Great talks can be given by using an overhead projector and slides as well as on the blackboard, neither of the two ways is preferred in principle.
When showing data and plots, slides might be more useful but mixed solutions are also possible.
Hand-written lecture notes
- Domains of attraction for sums, stable laws
- Limit laws for normalized maxima, max-stable laws
- Fisher-Tippett theorem
- Maximum domains of attraction
- Generalized extreme value (GEV) distributions, kth largest maxima, records
- Multivariate extreme value distributions
2016 lecture notes in one file
Literature