The workshop program will consist of Invited Speakers, Organized Topic Sessions, Oral and Poster Contributed Sessions (download)
Invited Speakers
Anthony Davison (École Poytechnique Fédérale de Lausanne, Switzerland)
Modelling Extremes for Complex Events
Holger Rootzén (Chalmers University of Technology, Göteborg, Sweden)
Design Life Level: quantifying risk in a changing climate (slides)
Richard Davis (Columbia University, New York, USA)
Largest eigenvalues of sample covariance matrix for p-variate time series of length n with heavy-tails (slides)
Ross Leadbetter (University of North Carolina at Chapel Hill, USA)
On the Cosmetics of Exceedance Point Process and Related Theory since 1983 (slides)
Modelling Extremes for Complex Events
Holger Rootzén (Chalmers University of Technology, Göteborg, Sweden)
Design Life Level: quantifying risk in a changing climate (slides)
Richard Davis (Columbia University, New York, USA)
Largest eigenvalues of sample covariance matrix for p-variate time series of length n with heavy-tails (slides)
Ross Leadbetter (University of North Carolina at Chapel Hill, USA)
On the Cosmetics of Exceedance Point Process and Related Theory since 1983 (slides)
Special Session
Maria Ivette Gomes (University of Lisbon, Portugal)
Penultimate Approximations: Past, Present . . . and Future? (slides)
Penultimate Approximations: Past, Present . . . and Future? (slides)
Invited Organized Sessions
Statistics for Univariate Extremes –
Organizer: Armelle Guillou (Université de Strasbourg, France)
Speakers:
Jan Beirlant (Catholic University Leuven, Belgium)
An Overview and Open Research Topics in Statistics of Univariate Extremes (slides)
Jürg Hüsler (University of Bern, Switzerland)
Estimation of the extreme value parameters with interval censored and non-censored data
Stéphane Girard (INRIA Rhône-Alpes, France)
Nonparametric estimation of extreme risks from heavy-tailed distributions (slides)
Spatial Extremes –
Organizers: Jonathan Tawn (Lancaster University , UK) and Ben Shaby (University of California, Berkeley, US)
Speakers:
Ben Shaby (University of California, Berkeley, US)
Fully Bayesian inference for spatial extremes using hierarchical extreme value processes (slides)
Paul Northrop (University College London, UK)
Marginal modelling of spatially-dependent non-stationary extremes (slides)
Simone Padoan (University of Milan, Italy)
Multivariate Spatial Extremes
Multivariate Extremes –
Organizer: Michael Falk (Universität Würzburg, Germany)
Speakers:
Ana Ferreira (Technical University of Lisbon, Portugal)
Multivariate Pareto distributions: properties and examples (slides)
Helena Ferreira (University of Beira Interior, Portugal)
Extremal properties of M4 processes (slides)
Stefan Aulbach (Universität Würzburg, Germany)
Testing for a delta-neighborhood of a generalized Pareto copula process (slides)
Extremes in Finance and Insurance –
Organizer: Paul Embrechts (ETH Zurich, Switzerland) and Valérie Chavez-Demoulin (Université de Lausanne, Switzerland)
Speakers:
Alexandra Dias (University of Leicester, UK)
The economic value of controlling for large losses in portfolio selection (cancelled)
Marie Kratz (ESSEC Business School, France)
A shifted CLT: an alternative solution to correctly estimate in a Gaussian realm the VaR in presence of heavy tails (slides)
Valérie Chavez-Demoulin (Université de Lausanne, Switzerland)
High-frequency financial data modeling using Hawkes processes (slides)
Organizer: Armelle Guillou (Université de Strasbourg, France)
Speakers:
Jan Beirlant (Catholic University Leuven, Belgium)
An Overview and Open Research Topics in Statistics of Univariate Extremes (slides)
Jürg Hüsler (University of Bern, Switzerland)
Estimation of the extreme value parameters with interval censored and non-censored data
Stéphane Girard (INRIA Rhône-Alpes, France)
Nonparametric estimation of extreme risks from heavy-tailed distributions (slides)
Spatial Extremes –
Organizers: Jonathan Tawn (Lancaster University , UK) and Ben Shaby (University of California, Berkeley, US)
Speakers:
Ben Shaby (University of California, Berkeley, US)
Fully Bayesian inference for spatial extremes using hierarchical extreme value processes (slides)
Paul Northrop (University College London, UK)
Marginal modelling of spatially-dependent non-stationary extremes (slides)
Simone Padoan (University of Milan, Italy)
Multivariate Spatial Extremes
Multivariate Extremes –
Organizer: Michael Falk (Universität Würzburg, Germany)
Speakers:
Ana Ferreira (Technical University of Lisbon, Portugal)
Multivariate Pareto distributions: properties and examples (slides)
Helena Ferreira (University of Beira Interior, Portugal)
Extremal properties of M4 processes (slides)
Stefan Aulbach (Universität Würzburg, Germany)
Testing for a delta-neighborhood of a generalized Pareto copula process (slides)
Extremes in Finance and Insurance –
Organizer: Paul Embrechts (ETH Zurich, Switzerland) and Valérie Chavez-Demoulin (Université de Lausanne, Switzerland)
Speakers:
Alexandra Dias (University of Leicester, UK)
The economic value of controlling for large losses in portfolio selection (cancelled)
Marie Kratz (ESSEC Business School, France)
A shifted CLT: an alternative solution to correctly estimate in a Gaussian realm the VaR in presence of heavy tails (slides)
Valérie Chavez-Demoulin (Université de Lausanne, Switzerland)
High-frequency financial data modeling using Hawkes processes (slides)
EVT2013 Satellite Seminar
Jef Teugels (Katholieke Universiteit Leuven, Belgium)
Change Point Analysis of Extreme Values (slides)
Local: CEAUL - FCUL (DEIO) - Campo Grande - Bloco C6 Piso 4 - Sala 6.4.30 - 14:30h: 13-Sep-2013
Change Point Analysis of Extreme Values (slides)
Local: CEAUL - FCUL (DEIO) - Campo Grande - Bloco C6 Piso 4 - Sala 6.4.30 - 14:30h: 13-Sep-2013
EVT2013 Oral Presentations
Sept 9
Barry C. Arnold - On certain characteristic properties of the exponential distribution based on maxima in small samples (slides)
Co-author: Jose A. Villasenor
Michael Osmann - A local moment type estimator for the extreme value index in regression with random covariates (slides)
Co-authors: Yuri Goegebeur, Armelle Guillou
Armelle Guillou - Nonparametric regression estimation of conditional tails – the random covariate case (slides)
Georg Lindgren - Extremes, wave asymmetry, and other stochastic properties of ocean wave energy systems (slides)
Isabel Serra - A good methodological approach for parameter estimation of the generalized Pareto distribution (slides)
Co-authors: Joan del Castillo
Milan Stehlík - On parametric approach for extremes modeling in ecology (slides)
Sept 10
Rolf-Dieter Reiss - Asymptotic Distributions and Expansions of Multivariate Maxima in Triangular Schemes (slides)
Co-author: Melanie Frick
John P. Nolan - Methods of constructing multivariate extreme value distributions (slides)
Co-authors: Anne-Laure Fougères, Cécile Mercadier
Ana Cristina Moreira Freitas - Extremal behaviour of chaotic dynamics (slides)
Rym Worms - New estimators of the extreme value index under random right censoring, for heavy-tailed distributions (slides)
Co-authors: Julien Worms
Anne Sabourin - Semi-parametric modelling of excesses above high multivariate thresholds with censored data (slides)
Jorge Milhazes Freitas - Extremes for deterministic and random dynamical systems (slides)
Sept 11
Thomas Mikosch - A Fourier analysis of extremal dependence (slides)
Co-authors: Richard A. Davis and Yuwei Zhao
Miriam Isabel Seifert - A Conditional Limit Theorem for Polar Distributions with Dependent Components
Natalia Markovich - Moments of cluster characteristics of time series (slides)
Ishay Weissman - Testing for Serial Correlation by Means of Extreme Values (slides)
Barry C. Arnold - On certain characteristic properties of the exponential distribution based on maxima in small samples (slides)
Co-author: Jose A. Villasenor
Michael Osmann - A local moment type estimator for the extreme value index in regression with random covariates (slides)
Co-authors: Yuri Goegebeur, Armelle Guillou
Armelle Guillou - Nonparametric regression estimation of conditional tails – the random covariate case (slides)
Georg Lindgren - Extremes, wave asymmetry, and other stochastic properties of ocean wave energy systems (slides)
Isabel Serra - A good methodological approach for parameter estimation of the generalized Pareto distribution (slides)
Co-authors: Joan del Castillo
Milan Stehlík - On parametric approach for extremes modeling in ecology (slides)
Sept 10
Rolf-Dieter Reiss - Asymptotic Distributions and Expansions of Multivariate Maxima in Triangular Schemes (slides)
Co-author: Melanie Frick
John P. Nolan - Methods of constructing multivariate extreme value distributions (slides)
Co-authors: Anne-Laure Fougères, Cécile Mercadier
Ana Cristina Moreira Freitas - Extremal behaviour of chaotic dynamics (slides)
Rym Worms - New estimators of the extreme value index under random right censoring, for heavy-tailed distributions (slides)
Co-authors: Julien Worms
Anne Sabourin - Semi-parametric modelling of excesses above high multivariate thresholds with censored data (slides)
Jorge Milhazes Freitas - Extremes for deterministic and random dynamical systems (slides)
Sept 11
Thomas Mikosch - A Fourier analysis of extremal dependence (slides)
Co-authors: Richard A. Davis and Yuwei Zhao
Miriam Isabel Seifert - A Conditional Limit Theorem for Polar Distributions with Dependent Components
Natalia Markovich - Moments of cluster characteristics of time series (slides)
Ishay Weissman - Testing for Serial Correlation by Means of Extreme Values (slides)
EVT2013 Posters
Alexandra Ramos - Modelling short-range temporal dependence within extremes of financial time series
Co-author: Anthony Ledford
Anna Kiriliouk - An M-estimator for tail dependence in spatial extremes (poster)
Co-authors: John Einmahl, Andrea Krajina and Johan Segers
Antoine Dematteo - Tail index estimation for a random field observed on a lattice. Application to risk assessment in the LNG shipping industry
Délia Gouveia-Reis - A spatial extremes characterization of the annual maxima precipitation in Madeira Island (poster)
Co-authors: Luiz Guerreiro Lopes and Sandra Mendonça
Elisabete Carolino - Acceptance Sampling Plans for Extreme Value variables: another approach
Co-author: Isabel Barão
Fernanda Figueiredo - Tail Index Estimation: Reducing Bias and Confidence Intervals Coverage Errors
Co-authors: M.Ivette Gomes, M.Fátima Brilhante and M. Manuela Neves
Fernando Ferraz do Nascimento - A Bayesian semi-parametric approach to extreme regime identification (poster)
Co-authors: Dani Gamerman and Richard Davis
Frederico Caeiro - Adaptive estimation of a shape second-order parameter
Co-author: M. Ivette Gomes
Gildas Mazo - A parsimonious multivariate copula for tail dependence modeling
Co-authors: Stéphane Girard and Florence Forbes
Helena Penalva - Visualizing and modeling extreme data in R environment: a practical approach (poster)
Co-authors: Sandra Nunes and Manuela Neves
Isabel Fraga Alves - Simulation study for an endpoint estimator in a class of distributions in Gumbel domain of attraction (poster)
Co-author: Cláudia Neves
Jan Picek - Estimators of extreme value index based on averaged regression quantiles
Luisa Pereira - Almost sure max-limit theorem for nonstationary normal random fields
Manuela Neves - Monthly precipitation in the South of Portugal: an extremal spatial analysis
Co-authors: Dora Prata Gomes and Elsa Moreira
Margarida Brito - Asymptotic properties of tail estimators under strong mixing
Co-author: Ana Cristina M. Freitas
Maria Padilla - Detection of distributions with bounded support
Co-author: Joan del Castillo
Marta Ferreira - Multivariate ARMAX processes (poster)
Co-author: Helena Ferreira
Michał Warchoł - Statistics for Tail Processes of Heavy-Tailed Markov Chain (poster)
Co-author: Johan Segers
Paula Reis - On the penultimate approximations and reliability of parallel-series systems
Co-authors: Luisa Canto e Castro, Sandra Dias and M. Ivette Gomes
Sandra Dias - On the maximum F-INAR(1) of stationary models
Co-author: Maria da Graça Temido
Sandra Mendonça – Randomly stopped order statistics and Panjer family
Co-author: Dinis Pestana
Co-author: Anthony Ledford
Anna Kiriliouk - An M-estimator for tail dependence in spatial extremes (poster)
Co-authors: John Einmahl, Andrea Krajina and Johan Segers
Antoine Dematteo - Tail index estimation for a random field observed on a lattice. Application to risk assessment in the LNG shipping industry
Délia Gouveia-Reis - A spatial extremes characterization of the annual maxima precipitation in Madeira Island (poster)
Co-authors: Luiz Guerreiro Lopes and Sandra Mendonça
Elisabete Carolino - Acceptance Sampling Plans for Extreme Value variables: another approach
Co-author: Isabel Barão
Fernanda Figueiredo - Tail Index Estimation: Reducing Bias and Confidence Intervals Coverage Errors
Co-authors: M.Ivette Gomes, M.Fátima Brilhante and M. Manuela Neves
Fernando Ferraz do Nascimento - A Bayesian semi-parametric approach to extreme regime identification (poster)
Co-authors: Dani Gamerman and Richard Davis
Frederico Caeiro - Adaptive estimation of a shape second-order parameter
Co-author: M. Ivette Gomes
Gildas Mazo - A parsimonious multivariate copula for tail dependence modeling
Co-authors: Stéphane Girard and Florence Forbes
Helena Penalva - Visualizing and modeling extreme data in R environment: a practical approach (poster)
Co-authors: Sandra Nunes and Manuela Neves
Isabel Fraga Alves - Simulation study for an endpoint estimator in a class of distributions in Gumbel domain of attraction (poster)
Co-author: Cláudia Neves
Jan Picek - Estimators of extreme value index based on averaged regression quantiles
Luisa Pereira - Almost sure max-limit theorem for nonstationary normal random fields
Manuela Neves - Monthly precipitation in the South of Portugal: an extremal spatial analysis
Co-authors: Dora Prata Gomes and Elsa Moreira
Margarida Brito - Asymptotic properties of tail estimators under strong mixing
Co-author: Ana Cristina M. Freitas
Maria Padilla - Detection of distributions with bounded support
Co-author: Joan del Castillo
Marta Ferreira - Multivariate ARMAX processes (poster)
Co-author: Helena Ferreira
Michał Warchoł - Statistics for Tail Processes of Heavy-Tailed Markov Chain (poster)
Co-author: Johan Segers
Paula Reis - On the penultimate approximations and reliability of parallel-series systems
Co-authors: Luisa Canto e Castro, Sandra Dias and M. Ivette Gomes
Sandra Dias - On the maximum F-INAR(1) of stationary models
Co-author: Maria da Graça Temido
Sandra Mendonça – Randomly stopped order statistics and Panjer family
Co-author: Dinis Pestana