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DTSTAMP:20260712T175557Z
DESCRIPTION:Title: Univariate and multivariate extremes of extendible rando
 m vectors\n\nAbstract:\n\nIn its most common form extreme value theory is 
 concerned with the limiting distribution of location-scale transformed blo
 ck-maxima Mn=max(X1\,…\,Xn) of a sequence of identically distributed rando
 m variables (Xi)\, i≥1. In case the members of the sequence (Xi) are indep
 endent\, the weak limiting behaviour of Mn is adequately described by the 
 classical Fisher-Tippett-Gnedenko theorem. In this presentation we are int
 erested in the case of dependent random variables (Xi) while retaining a c
 ommon marginal distribution function F for all Xi\, i∈ℕ. Complementary to 
 the well established extreme value theory in a time series setting we cons
 ider a framework in which the dependence between (extreme) events does not
  decay over time. This approach is facilitated by highlighting the connect
 ion between block-maxima and copula diagonals in an asymptotic context. Th
 e main goal of this presentation is to discuss a generalization of the Fis
 her–Tippett–Gnedenko theorem in this setting\, leading to limiting distrib
 utions that are not in the class of generalized extreme value distribution
 s. This result is exemplified for popular dependence structures related to
  extreme value\, Archimedean and Archimax copulas. Focusing on the class o
 f hierarchical Archimedean copulas the results can further be extended to 
 the multivariate setting. Finally\, we illustrate the resulting limit laws
  and discuss their properties.\n\n(it is joint work with Marius Hofert and
  Johanna G. Neslehova).\n\n\n	Speaker\n\n\nKlaus Herrmann is a Postdoctoral
  Fellow in the Department of Mathematics and Statistics at McGill. His sup
 ervisor is Professor Johanna Neslehova.\n
DTSTART:20191018T193000Z
DTEND:20191018T203000Z
LOCATION:Room 1205\, Burnside Hall\, CA\, QC\, Montreal\, H3A 0B9\, 805 rue
  Sherbrooke Ouest
SUMMARY:Klaus Herrmann 
URL:https://www.mcgill.ca/mathstat/channels/event/klaus-herrmann-301827
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