Forum for Science, Industry and Business

Sponsored by:     3M 
Search our Site:

 

No more tasty surprises: RUB mathematicians develop new statistical method

26.09.2011
In order to calculate the probability of several extreme events occurring at the same time, three scientists at the RUB have developed a new method.

Prof. Dr. Holger Dette, Dr. Axel Bücher und Dr. Stanislav Volgushev from the Institute of Statistics (Faculty of Mathematics at the Ruhr-Universität) published their findings in the prestigious scientific journal “The Annals of Statistics”.

No more tasty surprises
Calculating the probability of extreme events
RUB mathematicians develop new statistical method
It had to happen: the property bubble burst and the global financial market experienced its biggest crisis in the last hundred years. In retrospect, many suspected it was coming, but nobody could have known for sure. The traditional investment strategy failed, as all forms of investment suddenly collapsed at the same time. In order to calculate the probability of several such extreme events occurring at the same time, three scientists at the RUB have developed a new method. Prof. Dr. Holger Dette, Dr. Axel Bücher und Dr. Stanislav Volgushev from the Institute of Statistics (Faculty of Mathematics at the Ruhr-Universität) published their findings in the prestigious scientific journal “The Annals of Statistics”.

Big things start small

Up to now, when statisticians estimated the probabilities of extreme events, they usually calculated with dependencies between the outliers of statistical series. The outliers, however, make up the smallest part of a data set, e.g. the largest 100 out of 3,600 data. That means they ignore the dependencies of the bulk of the relevant data set, namely 3,500 data, and thus take the risk that important information is lost. Axel Bücher shows how this problem can be solved: “Our work provides a decision aid as to whether it is better to use the full range of data and not only the outliers. If all the data are relevant, then they should all be included. However, this is not always the case. Sometimes these data would falsify the result.”

Multidimensional function

The researchers use the copula function for the evaluation. “This is a complicated, multi-dimensional function, which characterises stochastic dependencies between the data” explains Stanislav Volgushev. With this aid, a few years ago we might have noticed that many little termites were nibbling their way into the wooden foundation of the global financial market, whilst we were on the look out for large predators.

Financial crises as motivation for research

“Our research is strongly motivated by the recent financial crises. At that time, almost all the economic models and forecasting tools for loan losses failed because they did not pay sufficient attention to extreme dependencies. In the long run, we aim to develop models and methods that predict such events better” says Prof. Dette, explaining the reason for their research. For several years, the three researchers have been looking into new methods of asymptotic statistics which work with sample sizes approaching infinity. They are financed by the German Research Foundation (DFG) in the Collaborative Research Centre SFB 823 “Statistical modelling of nonlinear dynamic processes”. The English-language publication bears the title “New estimators of the Pickands dependence function and a test for extreme-value dependence”.

Bibliographic record

Axel Bücher, Holger Dette, Stanislav Volgushev: “New estimators of the Pickands dependence function and a test for extreme-value dependence”, in: “The Annals of Statistics”, Volume 39, Number 4, 2011. doi: 10.1214/11-AOS890

http://projecteuclid.org/DPubS?verb=Display&version=1.0&service=UI&h...

Further information

Prof. Dr. Holger Dette, Institute of Statistics, Faculty of Mathematics at the RUB, tel. +49 234 32 28284, holger.dette@rub.de

Editor: Tabea Steinhauer

Dr. Josef König | idw
Further information:
http://www.ruhr-uni-bochum.de/

Further reports about: RUB Statistics mathematics statistical method

More articles from Statistics:

nachricht Institutions of higher education spent more than Euro 48 billion in 2014
19.05.2016 | Statistisches Bundesamt

nachricht Microtechnology industry keen to invest and innovate
07.04.2016 | IVAM Fachverband für Mikrotechnik

All articles from Statistics >>>

The most recent press releases about innovation >>>

Die letzten 5 Focus-News des innovations-reports im Überblick:

Im Focus: OLED microdisplays in data glasses for improved human-machine interaction

The Fraunhofer Institute for Organic Electronics, Electron Beam and Plasma Technology FEP has been developing various applications for OLED microdisplays based on organic semiconductors. By integrating the capabilities of an image sensor directly into the microdisplay, eye movements can be recorded by the smart glasses and utilized for guidance and control functions, as one example. The new design will be debuted at Augmented World Expo Europe (AWE) in Berlin at Booth B25, October 18th – 19th.

“Augmented-reality” and “wearables” have become terms we encounter almost daily. Both can make daily life a little simpler and provide valuable assistance for...

Im Focus: Artificial Intelligence Helps in the Discovery of New Materials

With the help of artificial intelligence, chemists from the University of Basel in Switzerland have computed the characteristics of about two million crystals made up of four chemical elements. The researchers were able to identify 90 previously unknown thermodynamically stable crystals that can be regarded as new materials. They report on their findings in the scientific journal Physical Review Letters.

Elpasolite is a glassy, transparent, shiny and soft mineral with a cubic crystal structure. First discovered in El Paso County (Colorado, USA), it can also be...

Im Focus: Complex hardmetal tools out of the 3D printer

For the first time, Fraunhofer IKTS shows additively manufactured hardmetal tools at WorldPM 2016 in Hamburg. Mechanical, chemical as well as a high heat resistance and extreme hardness are required from tools that are used in mechanical and automotive engineering or in plastics and building materials industry. Researchers at the Fraunhofer Institute for Ceramic Technologies and Systems IKTS in Dresden managed the production of complex hardmetal tools via 3D printing in a quality that are in no way inferior to conventionally produced high-performance tools.

Fraunhofer IKTS counts decades of proven expertise in the development of hardmetals. To date, reliable cutting, drilling, pressing and stamping tools made of...

Im Focus: Launch of New Industry Working Group for Process Control in Laser Material Processing

At AKL’16, the International Laser Technology Congress held in May this year, interest in the topic of process control was greater than expected. Appropriately, the event was also used to launch the Industry Working Group for Process Control in Laser Material Processing. The group provides a forum for representatives from industry and research to initiate pre-competitive projects and discuss issues such as standards, potential cost savings and feasibility.

In the age of industry 4.0, laser technology is firmly established within manufacturing. A wide variety of laser techniques – from USP ablation and additive...

Im Focus: New laser joining technologies at ‘K 2016’ trade fair

Every three years, the plastics industry gathers at K, the international trade fair for plastics and rubber in Düsseldorf. The Fraunhofer Institute for Laser Technology ILT will also be attending again and presenting many innovative technologies, such as for joining plastics and metals using ultrashort pulse lasers. From October 19 to 26, you can find the Fraunhofer ILT at the joint Fraunhofer booth SC01 in Hall 7.

K is the world’s largest trade fair for the plastics and rubber industry. As in previous years, the organizers are expecting 3,000 exhibitors and more than...

All Focus news of the innovation-report >>>

Anzeige

Anzeige

Event News

Experts from industry and academia discuss the future mobile telecommunications standard 5G

23.09.2016 | Event News

ICPE in Graz for the seventh time

20.09.2016 | Event News

Using mathematical models to understand our brain

16.09.2016 | Event News

 
Latest News

Chains of nanogold – forged with atomic precision

23.09.2016 | Life Sciences

New leukemia treatment offers hope

23.09.2016 | Health and Medicine

Self-assembled nanostructures hit their target

23.09.2016 | Life Sciences

VideoLinks
B2B-VideoLinks
More VideoLinks >>>