Date: 11 May 2022 | Speaker: Michela Corradini
Extreme events, such as environmental hazards, network failure, extreme price movements, disease outbreaks, can have a severe impact on the stability of our environment, infrastructure, health and economic systems and affect our personal lives in many ways. Typically these are rare events in data. Lots of situations require a better understanding of the likely nature of future extreme events (e.g. frequency and magnitude), which informs adaptation, mitigation and critical safety measures. Statistical analysis for these events is highly non-standard and difficult; however some theoretically-backed principles known under the term extreme value theory (EVT) have arisen to guide the tail extrapolation from data closest to the risky regions of interest. In this talk, I will give an introduction to basic ideas at the heart of EVT and point out some of the challenges in dependence modelling that we aim to address.
