We announce the following DEC Statistics seminar:

Thursday, November 21 12:30 Meeting room 3-e4-sr03, Bocconi University, Via Roentgen 1, 3rd floor

Jenny Wadsworth (Lancaster University)

Title: Towards higher-dimensional spatial and spatio-temporal extremes

Abstract: The past decade has seen a huge effort in modelling the extremes of spatial processes. Significant challenges include the development of models with an appropriate asymptotic justification for the tail; ensuring model assumptions are compatible with the data; and the fitting of these models to (at least reasonably) high-dimensional datasets. I will review basic ideas of modelling spatial extremes, and introduce a more scalable approach via conditioning on a single site being extreme, which can also be applied in the space-time context. Furthermore, the sometimes-undesirable nature of conditioning on an extreme event at a particular location can be circumvented by an importance sampling algorithm to change the conditioning event. As we move towards being able to model extremes at more locations, we must also learn to deal with the complex structures of larger datasets, such as spatial nonstationarity in the extremal dependence. Some approaches to simplify these structures via deformations tailored to extremal dependence will also be discussed.

Kind regards, Giacomo Zanella

The DEC statistics seminars schedule is available at http://www.unibocconi.eu/statseminar

Please note: if you are a guest and you do not have a Bocconi ID Card to access to the Bocconi Buildings, please communicate your participation by sending an email to elisa.picassi@unibocconi.it