An introduction to Extreme Value Theory

schedule le lundi 04 février 2019 de 17h00 à 18h00

Organisé par : A. Lefebvre, N. Meyer, O. Safsafi, T. Touati

Intervenant : Nicolas Meyer (LPSM)
Lieu : Jussieu, salle de séminaire, couloir 16-26, salle 209

Sujet : An introduction to Extreme Value Theory

Résumé :

The purpose of this talk is to give a brief introduction to Extreme Value Theory. The first step is to study the maximum of an univariate sample. What are the possible limits? For which distributions does the convergence hold? We present the main result in this context: the Fisher-Tippett-Gnedenko theorem. Then, we extend these results to the multivariate framework. Secondly, we introduce the concept of regular variation which provides a way to study the behavior of the data above a high threshold. We illustrate these methods on different kind of applications (finance, rainfall, insurance).