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• Check also our sister working groups: Multivariate extremes - Metholodogy , Bayesian methods for extremes

Date	Topics & Readings	Notes
09/27/2007	After the meeting, Prof. Richard Smith suggested the following reading materials: Stuart G. Coles (1993), Regional Modelling Extreme Storms via Max-Stable Processes, JRSSB pdf Stuart G. Coles and Jonathan Tawn (1991), Modelling Extreme Multivariate Events, JRSSB; pdf Stuart G. Coles and Jonathan Tawn (1994), Statistical Methods for Multivariate Extremes: An Application to Structural Design, Applied Statistics; pdf Stuart G. Coles and Jonathan Tawn (1996), Modelling of Extremes of the Rainfall Process JRSSB pdf Beatriz Vaz de Melo Mendes and Luis Ra�ul, Assessing Conditional Extremal Risk of Flooding in Puerto Rico, preprint, pdf V. Chavez-Demoulin and A. C. Davison (2005), Statistical Methods for Multivariate Extremes: An Application to Structural Design, Applied Statistics, pdf Janet E. Heffernan, Jonathan A. Tawn and Zhengjun Zhang (2007), Asymptotically (in)dependent multivariate maxima of moving maxima processes, Extremes; pdf Harry Joe, Richard Smith and Ishay Weissman (1992), Bivariate Threshold Methods for Extremes; JRSSB pdf Anthony W. Ledford and Jonathan A. Tawn (2003), Diagnostics for dependence within time series extremes, JRSSB, pdf Anthony W. Ledford and Jonathan A. Tawn (1996), Statistics for Nearly Independence in Multivariate Extreme Values, Biometrika, pdf Anthony W. Ledford and Jonathan A. Tawn (1997), Modelling Dependence within Joint Tail Regions, JRSSB, pdf Krishanu Maulik and Sidney Resnick (2005), Characterizations and Examples of Hidden Regular Variation, Extremes, pdf Richard Smith (1994, Multivariate Threshold Methods, NIST/Temple University Conference on Extreme Value Theory and its Applications, (Book Chapter) pdf Sidney Resnick, (2002) Hidden Regular Variation, Second Order Regular Variation and Asymptotic Independence, Extremes, pdf Richard Smith, Jonathan Tawn and Stuart Coles (1997), Markov Chain Models for Threshold Exceedances, Biometrika, pdf Alec Stephenson, (2003) Simulating Multivariate Extreme Value Distributions of Logistic Type, Extremes, pdf Alec Stephenson and Jonathan Tawn (2005) Exploiting occurrence times in likelihood inference for componentwise maxima, Biometrika, pdf Bayesian Behrens, C., Lopes, H. and Gamerman, D. (2004) Bayesian analysis of extreme events with threshold estimation, Statistical Modelling, pdf Tancredi, A., Anderson, C. and Hagan, A. (2006) Accounting for threshold uncertainty in extreme value. Several papers of tutorial nature from Richard's website: http://www.stat.unc.edu/postscript/rs/semstatrls.pdf (this is the paper I recommended as background reading for my tutorial last week) http://www.stat.unc.edu/postscript/rs/var.pdf (book chapter - about value at risk) http://www.stat.unc.edu/postscript/rs//insurance/inex.pdf (book chapter - my paper with Dougal Goodman - Bayesian approach to the insurance risk problem) http://www.stat.unc.edu/postscript/rs/extremal.pdf (Smith and Weissman 1996 - introduced M4 processes - unpublished) http://www.stat.unc.edu/postscript/rs/spatex.pdf (Smith 1991 - about max-stable processes - unpublished)	Suggested reading list prior to the meeting: Statistics of Extremes: Theory and Applications (Jan Beirlant et. al. Wiley), which has two chapters talking about multivariate extremes. (Zhengjun) Heffernan and Tawn's conditional inference approach, JRSS B read paper (Zhengjun) Sidney Resnick's new (2007) book Heavy-Tail Phenomena: Probabilistic and Statistical Modeling (Paul) de Haan, L. and Lin, T. (2003). Weak consistency of extreme value estimators in C[0,1]. Annals of Statistics, 31, pp. 1996-2012. (Zhengjun) Joe, Harry (1987): Chp 6: Multivariate Extreme Distributions in "Multivariate Models and Dependence Concepts". (Kobi) Mari, D and Kotz, S (2001): Chap 5: Farlie-Gumbel-Morgenstern Models of Dependence in "Correlation and Dependence". (Kobi) The original "Statistics of Extremes" by Gumbel (1957) is available as an inexpensive Dover book. (Kobi)
10/11/2007	Prof. Paul Schuette is giving a talk titled "Power laws and extreme values". The slides are here [ pdf ] [ revised version ]	Prof. Richard Smith gave a tutorial on multivariate extreme value theory in the methodogy working group this morning. The slides from his talk are here. pdf
10/18/2007	Prof. Pal Nabendu gives a talk on estimation and testing with (univariate) EVD. The slides are here: [ 1 ] [ 2 ] [ 3 ]	Links to available data sets: http://sedac.ciesin.org/gateway/guides/gmhfd.html http://www.desinventar.org/en/download/index.html Normalized hurricane damages in the US 1900--2005 Recent paper by Zhengjun Zhang and Richard Smith, which includes discussion of multivariate extreme value distributions applied to portfolios. [ pdf ] S. Poon, M. Rockinger and J. Tawn, Extreme value dependence in financial markets: Diagnostics, models and financial implications. Review of Financial Studies, 2004. [ pdf ].
10/25/2007	Discussion of Poon, Rockinger and Tawn's paper. Also briefly: Weak and Strong Financial Frailty （2007） by J.L. Geluk, L. de Haan, and C. G. de Vries [ pdf ]
11/8/2007	Kobi Abayomi's talk: EVD-multiple environment hazard: World Bank hostpots report [ talk slides ] Zhengjun Zhang's talk: Testing and modeling extreme dependencies in financial markets[ talk slides ]	Hotspots background and acknowledgement [ pdf ] Hotspots synthesis report [ pdf ]
01/28/2008	Today's talk (Kobi on Harry Joe's book chapter on multivariate models and dependence concepts) is postponed until the next semester. Talk slides in [ pdf ]
02/11/2008	General discussion
02/25/2008	Prof. Pilar Munyoz's talk: Daily Spanish electricity prices and other variables associated with them: Uni and bivariate approaches. pdf
03/10/2008	Evangelos Evangelou's talk: Description and models for 5 stock prices pdf
03/24/2008	Nikita Tuzov's talk: Applying EVT analysis to US energy prices. ppt	Bloomberg (terminal access) www.pjm.com http://www.ferc.gov/ https://www.theice.com/ http://www.powerlytix.com/frontend/landingpage/Power.shtml

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