Extreme Value Theory
|Level, degree of commitment in original study programme||Advanced module, compulsory elective module|
|Forms of teaching and learning,
|Lecture (3 SWS), recitation class (1 SWS), |
180 hours (60 h attendance, 120 h private study)
Course requirement: Successful completion of at least 50 percent of the points from the weekly exercises.
Examination type: Written or oral examination
|German,The grading is done with 0 to 15 points according to the examination regulations for study course M.Sc. Business Mathematics.|
|Original study programme||M.Sc. Wirtschaftsmathematik / Mathematische Vertiefungs- und Praxismodule|
|One semester, |
Regelmäßig im Wechsel mit anderen advanced moduleen
|Person in charge of the module's outline||Prof. Dr. Markus Bibinger|
We introduce the basic stochastic extreme value theory, which investigates the behavior of extreme values (so-called ''outliers''), especially their asymptotic distributions. Important aspects will be extreme value distributions, the theorem by Fisher-Tippett, ''domain of attraction'', order statistics and point processes. Methods for statistical inference are discussed. In addition, applications of extreme value theory in financial risk management and for climate data are given as examples.
The students shall
- acquire knowledge in the field of specialization of extreme value theory as a subfield of stochastics,
- understand the differences between methods based on mean values or order statistics,
- learn techniques for statistical analysis,
- learn about interdisciplinary application possibilities, especially in risk management,
- improve their communication skills in the recitation class.
None. The competences taught in the following modules are recommended: either Foundations of Mathematics and Linear Algebra I and Linear Algebra II or Basic Linear Algebra, either Analysis I and Analysis II or Basic Real Analysis, Probability Theory, Internship Stochastics.
- Wird zu Beginn der Veranstaltung bekannt gegeben
This page describes a module according to the latest valid module guide in Wintersemester 2020/21. Most rules valid for a module are not covered by the examination regulations and can therefore be updated on a semesterly basis. The following versions are available in the online module guide:
- WiSe 2016/17 (no corresponding element)
- SoSe 2018 (no corresponding element)
- WiSe 2018/19
- WiSe 2019/20
- WiSe 2020/21
- SoSe 2021
- WiSe 2021/22
The module guide contains all modules, independent of the current event offer. Please compare the current course catalogue in Marvin.
The information in this online module guide was created automatically. Legally binding is only the information in the examination regulations (Prüfungsordnung). If you notice any discrepancies or errors, we would be grateful for any advice.