Dear all,
it is with great pleasure that the University of Nottingham hosts Prof Dr Michael Falk, from the University of Würzburg, for an exceptional Statistics & Probability seminar held next Thursday (26th July) from 2:00 to 3:00 in Physics B21 on University Park Campus, Nottingham NG7 2RD.
The title and abstract can be found below. Support from the LMS Research in Pairs Scheme (Scheme 4) has made this visit possible and is gratefully acknowledged.
Hope to see you in Nottingham next Thursday!
Best wishes,
Gilles Stupfler
Statistics & Probability seminar organiser
School of Mathematical Sciences
University of Nottingham
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Title: Generalized Pareto copulas: a key to multivariate extremes
Abstract: This talk reviews generalized Pareto copulas (GPC), which turn out to be a key to multivariate extreme value theory. Any GPC can be represented in an easy analytic way using a particular type of norm on Rd, called D-norm. The characteristic property of a GPC is its exceedance stability.
GPC might help to end the debate: What is a multivariate generalized Pareto distribution? We present an easy way how to simulate data from an arbitrary GPC and, thus, from an arbitrary generalized Pareto distribution.
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