Lecture

Statistics of Multivariate Extremes: Inference and Models

Description

This lecture covers the theory and applications of multivariate extremes, focusing on topics such as extremal limit theorems, Gaussian processes, Poisson process theory, and inference for multivariate maxima. The instructor discusses the estimation based on maxima, marginal transformation, and choice of dependence model. Examples using wind data illustrate the concepts, including fitting logistic dependence functions and diagnostic plots. The lecture emphasizes the importance of fitting marginal and dependence models together for accurate estimation.

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