STK4120 – Extreme value theory
Schedule, syllabus and examination date
The course will give an overview of a number of different topics in modern extreme value theory including: Univariate extreme value theory, threshold models, point process characterization of extremes, maximum-likelihood estimation, peaks over thresholds, Hill-type estimation, multivariate extremes and extremes of processes, analysing heavy-tailed data in insurance and finance, Risk Management (enhancing Value-at-Risk). Software like Splus and R will be used.
Extremal events appear in very different areas such as insurance, finance, telecommunications, hydrology, meteorology, and engineering, and make daily headlines in the media. The course gives an introduction to the basics of modern extreme value theory and extreme value statistics, which enables you to model extremes in these areas. Those include the basic limit theorems with the generalized extreme value distribution and the generalized extreme Pareto distribution in the limit. You will learn exploratory statistical tools for discovering the distribution of extremes and also be provided more sophisticated tools for the estimation of distribution tails and higher order quantiles of distributions. We also touch upon the modelling of extremes in time series (dependence over time) and for multivariate data (spatial dependency).
Students who are admitted to study programmes at UiO must each semester register which courses and exams they wish to sign up for in Studentweb.
If you are not already enrolled as a student at UiO, please see our information about admission requirements and procedures.
Recommended previous knowledge
STK1100 – Probability and Statistical Modelling, STK1110 – Statistical Methods and Data Analysis and one of the following courses: STK2100 – Machine Learning and Statistical Methods for Prediction and Classification, STK2120 – Statistical Methods and Data Analysis 2 (discontinued) or STK3100 – Introduction to Generalized Linear Models
10 credits overlap with STK9120 – Extreme Value Theory (discontinued)
The information about overlaps is not complete. Contact the department for more information if necessary.
3 hours of lectures/exercises per week.
Depeding on the number of students, the exam will be in one of the following four forms:
1.Only written exam
2.Only oral exam
3.A project paper followed by a written exam.
4.A project paper followed by an oral exam/hearing.
For the latter two the project paper and the exam counts equally and the final grade is based on å general impression after the final exam. (The two parts of the exam will not be indivdually graded.)
What form the exam will take will be announced by the teaching staff within October 15th for the autumn semester and March 15th for the spring semester.
Examination support material
Permitted aids at the exam if written: Approved calculator.
Information about approved calculators (Norwegian only)
Oral exam: no aids permitted
Language of examination
Subjects taught in English will only offer the exam paper in English.
You may write your examination paper in Norwegian, Swedish, Danish or English.
Grades are awarded on a scale from A to F, where A is the best grade and F is a fail. Read more about the grading system.
Explanations and appeals
Resit an examination
This course offers both postponed and resit of examination. Read more:
Withdrawal from an examination
It is possible to take the exam up to 3 times. If you withdraw from the exam after the deadline or during the exam, this will be counted as an examination attempt.
Special examination arrangements
Application form, deadline and requirements for special examination arrangements.
The course is subject to continuous evaluation. At regular intervals we also ask students to participate in a more comprehensive evaluation.