In our last lessons (26. Feb., 3./5./10./12. March) we discussed one of the main results of extreme value theory, that is the theorem of Fisher-Tippett-Gnedenko, which can be regarded as a central limit theorem for maximal claims (Ch. 3 in Embrechts). Further, we also started to address the problem of the characterization of the maximum domain of attraction of extreme value distributions by using methods from the theory of regularly varying functions.
In our next lessons, 17./19./24. March we aim at finishing our discussion of the characterization of the different maximum domain of attractions.
Our study plan for the next weeks is the following:
End of March: Discussion of convergence rates with respect to the Fisher-Tippett-Gnedenko theorem and statistical methods for extreme value distributions (Ch. 3 and 6 in Embrechts).
April/May: Study of extremal events from the viewpoint of point processes (Ch. 5 in Embrechts) and l...