FMSN55 / MASM15
7,5 credits, A
(Second Cycle)

General Information

Elective for: D4, F4, F4-fm, I4-fir, Pi4-fm, Pi4-biek, R4
Language of instruction: The course will be given in English
FMSN55 (course code LTH), MASM15 (course code Science faculty)

Contents

Extreme value theory concerns mathematical modelling of random extreme events. Recent development has introduced mathematical models for extreme values and statistical methods for them. Extreme values are of interest in, e.g., economics, safety and reliability, insurance mathematics, hydrology, meteorology, environmental sciences, and oceanography, as well as branches in statistics such as sequential analysis and robust statistics. The theory is used, e.g., for flood monitoring, construction of oil rigs, and calculation of insurance premiums for re-insurance of storm damage. Often extreme values can lead to very large consequences, both financial and in the loss of life and property. At the same time the experience of really extreme events is always very limited. Extreme value statistics is therefore forced to difficult and uncertain extrapolations, but is, none the less, necessary in order to use available experience in order to solve important problems.

The course will present the fundamental statistical methods for extreme value analysis, discuss examples of applications, i.a., regarding floods, storm damage, human life expectancy, and corrosion, provide practical use of the models, and point to some open problems and possible developments.

Examination details

The examiner, in consultation with Disability Support Services, may deviate from the regular form of examination in order to provide a permanently disabled student with a form of examination equivalent to that of a student without a disability.

Parts
Code: 0117. Name: Examination.
Credits: 6. Grading scale: TH. Assessment: Written examination
Code: 0217. Name: Laboratory Work.
Credits: 1,5. Grading scale: UG. Assessment: Computer exercises

Admission

Admission requirements - LTH:

FMSF20 Mathematical Statistics, Basic Course or FMSF25 Mathematical Statistics - Complementary Project or FMSF32 Mathematical Statistics or FMSF45 Mathematical Statistics, Basic Course or FMSF50 Mathematical Statistics, Basic Course or FMSF55 Mathematical Statistics, Basic Course or FMSF70 Mathematical Statistics or FMSF75 Mathematical Statistics, Basic Course or FMSF80 Mathematical Statistics, Basic Course
Assumed prior knowledge: Probability theory corresponding to FMSF05 helps.

Entry requirements - Science faculty
For admission to the course knowledge equivalent to the courses MASA01,
Mathematical Statistics: Basic Course, 15 credits and MASC01, Mathematical
Statistics: Probability Theory, 7.5 credits is required.

Reading list

Stuart Cole: An Introduction to Statistical Modeling of Extreme Values. Springer, 2001, ISBN: 978-1-85233-459-8.

Contact and other information

Director of studies: Johan Lindström, studierektor@matstat.lu.se
Course coordinator: Docent Nader Tajvidi, nader.tajvidi@matstat.lu.se
Course homepage: http://www.ctr.maths.lu.se/course/FMSN55MASM15/
Further information: Changed course code from FMS155. The course is also given at the faculty of science with the code MASM15.

The number of participants is not limited.
The course overlaps following course/s: MASM15, FMS155