COSMOSTATS 2023 - Bridging the Gap: Statistical Modeling of Cosmology Extremes

Session

Statistics

13 Sept 2023, 09:00

Lecture Room (Monte Pennar Astrophysical Observatory)

Conveners

Statistics: Statistics 1

• Alessandra R Brazzale (University of Padova)
• Valérie Chavez-Demoulin (Université de Lausanne)

Statistics: Statistics 2

• Valérie Chavez-Demoulin (Université de Lausanne)
• Alessandra R Brazzale (University of Padova)

33. An Introduction to Extreme Value Theory: from Basic Results to Tail Risk Inference in Time Series

Simone Padoan (Bocconi University)

13/09/2023, 09:00

In this talk we introduce the basic results of univariate Extreme Value Theory (EVT) that give rise to two of the most popular statistical methods for analysing extremes used in applications: the block maxima and peaks-over-threshold. We discuss one of the most important practical aims of EVT that is the tail risk estimation. We introduce expectiles as an alternative risk measure to the...

34. From Classics to Punk: Almost 50 Years of Extreme Value Analysis

Stefano Rizzelli (University of Padova)

13/09/2023, 09:45

The statistical theory for extremes was initiated by J. Pickands III (1975). Since then, a plethora of frequentist methods (based or not on likelihood functions) have been proposed to estimate tail probabilities. In this field, Bayesian methods were first developed in the 1990s, however they have gained popularity only recently. On the one hand, this is due to the availability of machines with...

39. Spatial Extremes

Anthony C. Davison (Swiss Federal Institute of Technology Lausanne)

14/09/2023, 09:00

40. Machine Learning for Extreme Values

Sebastian Engelke (University of Geneva)

14/09/2023, 09:45