Lecture

Statistical Analysis of Extremes: Risk Measures & Inference

Description

This lecture covers risk measures such as quantiles, value-at-risk, and expected shortfall, along with inference techniques like Hill estimation and Bayesian inference. It also discusses the statistical analysis of extreme values using methods like QQ plots and Gaussian Processes.

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Official source

https://mediaspace.epfl.ch/media/0_5nahjxhp

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Ontological neighbourhood

Statistics

Statistical inference: Mathematical statistics

Data analysis: Survival analysis

Business

Business administration: Risk management

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