Course syllabus

Statistisk modellering av multivariata extremvärden
Statistical Modelling of Multivariate Extreme Values

FMSN15, 7,5 credits, A (Second Cycle)

Valid for: 2015/16
Decided by: Education Board B
Date of Decision: 2015-04-16

General Information

Elective for: F5, F5-fm, I5-fir, Pi5
Language of instruction: The course will be given in English on demand


Multivariate extreme values occure in, e.g., economy, safety and reliability, insurance mathematics, hydrology, meteorology. environmental sciences, och ocenanography. They often show complicated dependencies between several variables, e.g. between wind speed, wind direction, wave height and ocean currents. This calls for special methods that can be used, e.g., for analysis of trends, calculation of flooding risks, and modelleling storm damage, corrosion speed, or financial risks. Climat and environmental changes, as well as an increasingly complicated financial market, pose new demands on deapend knowledge in these fields. This course is a countinuation of FMS155 Statistical Modelling of Extreme Values, and teaches methods for analysis of multivariate and spatial extreme values.

Learning outcomes

Knowledge and understanding
For a passing grade the student must

Competences and skills
For a passing grade the student must

Judgement and approach
For a passing grade the student must


Weak convergence for normalized extreme values of stochastic vectors, different characterisations of multivariate extreme value distributions, "peaks over threshold"-model in the multivariate case, different definitions of multivariate generalized Pareto distributions, statistical inference for multivariate extreme values, parametric and semi-parametric methods for multivariate extreme values, use of copula in modelling extreme values, point process characterisation of extreme values, prediction of extreme values, examples of applications of the theory, e.g., estimation of operational risk, climate changes and wind insurances.

Examination details

Grading scale: TH
Assessment: Written exam and home assignments.

Code: 0115. Name: Written Examination.
Credits: 6. Grading scale: TH. Assessment: Written examination.
Code: 0215. Name: Laboratory Work Part 1.
Credits: 0,5. Grading scale: UG. Assessment: Laboratory work 1 with written assignment.
Code: 0315. Name: Laboratory Work Part 2.
Credits: 1. Grading scale: UG. Assessment: Computer exercise 2 and 3 with written assignments


Admission requirements:

The number of participants is limited to: No
The course overlaps following course/s: MASM23

Reading list

Contact and other information

Course coordinator: Docent Nader Tajvidi,
Course homepage:
Further information: The course is also given at the faculty of science with the course code MASM23.