JSM 2012 Online Program

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Activity Details


CE_06C	Sat, 7/28/2012, 8:30 AM - 5:00 PM	HQ-Indigo 204
Introduction to Analysis of Extremes: Univariate and Multivariate Cases — Continuing Education Course
ASA , Section on Statistics and the Environment
Instructor(s): Daniel Cooley, Colorado State University
When assessing risk associated with extreme events, the questions that need to be answered require an accurate description of a distribution's tail and may require the researcher to extrapolate beyond the range of the data in the tail. This course will introduce the ideas and techniques involved in the analysis of extremes. The first half of the course will be devoted to the analysis of univariate data and the second half to the analysis of multivariate data. Extreme value analyses are based on fundamental results from probability theory which provide distributions appropriate for modeling the tail. The initial portion of the course will be devoted to introducing these fundamental results, and this will be done via demonstrations and examples (rather than mathematical proofs) so that the attendees develop some intuition for the underlying theory. Attention will then turn to statistical analysis of extreme data and the techniques used to describe the tail. The multivariate portion of the course will largely focus on how dependence is described for extremes: via an angular measure rather than via correlation. The target audience is quantitative scientists and statisticians who are unfamiliar with these methods. Upper-division undergraduate mathematical literacy is required, and basic understanding of mathematical statistics is recommended.

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