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: Breakthrough with a chain of gold atoms

In the field of nanoscience, an international team of physicists with participants from Konstanz has achieved a breakthrough in understanding heat transport

In the field of nanoscience, an international team of physicists with participants from Konstanz has achieved a breakthrough in understanding heat transport

Im Focus: DNA repair: a new letter in the cell alphabet

Results reveal how discoveries may be hidden in scientific “blind spots”

Cells need to repair damaged DNA in our genes to prevent the development of cancer and other diseases. Our cells therefore activate and send “repair-proteins”...

Im Focus: Dresdner scientists print tomorrow’s world

The Fraunhofer IWS Dresden and Technische Universität Dresden inaugurated their jointly operated Center for Additive Manufacturing Dresden (AMCD) with a festive ceremony on February 7, 2017. Scientists from various disciplines perform research on materials, additive manufacturing processes and innovative technologies, which build up components in a layer by layer process. This technology opens up new horizons for component design and combinations of functions. For example during fabrication, electrical conductors and sensors are already able to be additively manufactured into components. They provide information about stress conditions of a product during operation.

The 3D-printing technology, or additive manufacturing as it is often called, has long made the step out of scientific research laboratories into industrial...

Im Focus: Mimicking nature's cellular architectures via 3-D printing

Research offers new level of control over the structure of 3-D printed materials

Nature does amazing things with limited design materials. Grass, for example, can support its own weight, resist strong wind loads, and recover after being...

Im Focus: Three Magnetic States for Each Hole

Nanometer-scale magnetic perforated grids could create new possibilities for computing. Together with international colleagues, scientists from the Helmholtz Zentrum Dresden-Rossendorf (HZDR) have shown how a cobalt grid can be reliably programmed at room temperature. In addition they discovered that for every hole ("antidot") three magnetic states can be configured. The results have been published in the journal "Scientific Reports".

Physicist Dr. Rantej Bali from the HZDR, together with scientists from Singapore and Australia, designed a special grid structure in a thin layer of cobalt in...

All Focus news of the innovation-report >>>

Anzeige

Anzeige

Event News

Booth and panel discussion – The Lindau Nobel Laureate Meetings at the AAAS 2017 Annual Meeting

13.02.2017 | Event News

Complex Loading versus Hidden Reserves

10.02.2017 | Event News

International Conference on Crystal Growth in Freiburg

09.02.2017 | Event News

 
Latest News

Start codons in DNA may be more numerous than previously thought

21.02.2017 | Life Sciences

An alternative to opioids? Compound from marine snail is potent pain reliever

21.02.2017 | Life Sciences

Warming ponds could accelerate climate change

21.02.2017 | Life Sciences

VideoLinks
B2B-VideoLinks
More VideoLinks >>>