This Winter, I will be giving a (graduate) course on extreme values, and copulas (more generally multivariate models and dependence), MAT8595. It is an ISM course, and even if it will probably be given in French, I will upload information here, in English. I will upload the (detailed) syllabus of the course during the Christmas holidays. But to give an overview, for those willing to register, the first part of the course will focus on extreme value theory. The references will be
- Beirlant, J, Goegebeur, Y., Segers, S. & Teugels, J. (2004) Statistics of Extremes. Wiley.
- Embrechts, P. Kluppelberg, C. & Mikosch, T. (1997) Modelling Extremal Events. Springer Verlag.
- Resnick, S. (1987). Extreme Value, Regular Variation and Point Processes. Springer Verlag.
The second part of the course will be on multivariate distributions. The references will be
- Joe, H. (1997). Multivariate Models and Multivariate Dependence Concepts. Chapman & Hall.
- Nelsen, R. (1999). An Introduction to Copulas. Springer Verlag.
Specific references and more details about the chapters will be given during the course. I will upload exercises this winter, as well as a list of articles that will be used for projects. Examples will be illustrated using R functions from dedicated packages.
Grades will be based on exercises (homework), report (based on a published paper) and final writen exam.