STAT460-12S1 (C) Semester One 2012

Extreme Value Statistics

15 points

Details:
Start Date: Monday, 20 February 2012
End Date: Sunday, 24 June 2012
Withdrawal Dates
Last Day to withdraw from this course:
  • Without financial penalty (full fee refund): Friday, 2 March 2012
  • Without academic penalty (including no fee refund): Friday, 18 May 2012

Description

Extreme Value Statistics

This course aims to develop the theory and methods for modelling the extremes of random processes. Extreme value theory moves away from more traditional statistical techniques where the aims are to model the usual (or in some sense average) behaviour, to consider the unusual or rare events. It has received wide application in many fields where the risk associated with rare events are of concern, e.g. finance/economics, hydrological modelling, climate change, engineering (structural design) and material science (material fatigue/failure).
The course will cover the mathematics underlying extreme value models, statistical inference using likelihood and applications to real data, with implementation in the software package R. Recommended preparation includes second year Statistics (preferably STAT214) and at least full first year Mathematics (MATH103 or EMTH119 or equivalent).

For a full list of 2012 Honours courses, please refer to the Department of Mathematics and Statistics Honours Booklet Mathematics and Statistics Honours Booklet

Prerequisites

Subject to approval of the Head of School.

Course Coordinator

Carl Scarrott

Indicative Fees

Domestic fee $788.00

* All fees are inclusive of NZ GST or any equivalent overseas tax, and do not include any programme level discount or additional course-related expenses.

For further information see Mathematics and Statistics .

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