Syllabus
1. Extreme value distributions. Block maxima analysis. Generalized Pareto distribution. Analysis of threshold exeedances.
2. Copulas. Sklar theorem. Comonotonicity and countermonotonicity. Implicit copulas. Bivariate archimedean copulas.
3. Dependence measures. Coefficients of rank correlation. Coefficients of tail dependence.
4. Estimating copulas from data. Simulation of copulas.
Annotation
Introduction to extreme value theory. Block maxima method.
Analysis of threshold exceedances. Copulas.
Sklar theorem and multivariate data modeling. Dependence measures.