The Institute for Statistics and Mathematics is pleased to invite you to the next research seminar, taking place on campus:

Johanna G. Nešlehová (Department of Mathematics and Statistics, McGill University, Montréal, Canada; Institute for Statistics and Mathematics, WU Vienna):
Limiting Behaviour of Maxima under Dependence
Friday, May 3, 2023, 6:00 pm, Room D4.0.127

Abstract: When working with large insurance portfolios, say, the assumption of independence between claims may no longer be appropriate. As a consequence, classical limiting theory of maxima of iid variables may no longer apply. In this presentation, I will explore the weak limits of maxima of identically distributed random variables which are neither independent nor form a locally dependent time series and derive extensions of the Fisher—Tippett—Gnedenko Theorem. It turns out that the possible weak limits of suitably scaled maxima are no longer extreme-value distributions in general, but an asymptotic theory can nonetheless be developed and is driven by the properties of the diagonal of the underlying copula. I will further derive results on uniform convergence and present various illustrative examples. This talk is based on joint work with Klaus Herrmann and Marius Hofert.

We aim to stream all on-campus talks via Zoom. A direct link to the stream will be posted on our website.

For further information and the seminar schedule, please see:
www.wu.ac.at/en/statmath/research/resseminar