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.”
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 recordAxel 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
Prof. Dr. Holger Dette, Institute of Statistics, Faculty of Mathematics at the RUB, tel. +49 234 32 28284, email@example.com
Editor: Tabea Steinhauer
Dr. Josef König | idw
Microtechnology industry keen to invest and innovate
07.04.2016 | IVAM Fachverband für Mikrotechnik
12.5 billion euros for non-university research in 2014
07.04.2016 | Statistisches Bundesamt
Using an ultra fast-scanning atomic force microscope, a team of researchers from the University of Basel has filmed “living” nuclear pore complexes at work for the first time. Nuclear pores are molecular machines that control the traffic entering or exiting the cell nucleus. In their article published in Nature Nanotechnology, the researchers explain how the passage of unwanted molecules is prevented by rapidly moving molecular “tentacles” inside the pore.
Using high-speed AFM, Roderick Lim, Argovia Professor at the Biozentrum and the Swiss Nanoscience Institute of the University of Basel, has not only directly...
If a person pushes a broken-down car alone, there is a certain effect. If another person helps, the result is the sum of their efforts. If two micro-particles are pushing another microparticle, however, the resulting effect may not necessarily be the sum their efforts. A recent study published in Nature Communications, measured this odd effect that scientists call “many body.”
In the microscopic world, where the modern miniaturized machines at the new frontiers of technology operate, as long as we are in the presence of two...
Researchers from the Max Planck Institute Stuttgart have developed self-propelled tiny ‘microbots’ that can remove lead or organic pollution from contaminated water.
Working with colleagues in Barcelona and Singapore, Samuel Sánchez’s group used graphene oxide to make their microscale motors, which are able to adsorb lead...
Neutron scattering and computational modeling have revealed unique and unexpected behavior of water molecules under extreme confinement that is unmatched by any known gas, liquid or solid states.
In a paper published in Physical Review Letters, researchers at the Department of Energy's Oak Ridge National Laboratory describe a new tunneling state of...
Honeycomb structures as the basic building block for industrial applications presented using holo pyramid
Researchers of the Alfred Wegener Institute (AWI) will introduce their latest developments in the field of bionic lightweight design at Hannover Messe from 25...
27.04.2016 | Event News
15.04.2016 | Event News
12.04.2016 | Event News
04.05.2016 | Physics and Astronomy
04.05.2016 | Physics and Astronomy
04.05.2016 | Materials Sciences