Forum for Science, Industry and Business

Sponsored by:     3M 
Search our Site:


No more tasty surprises: RUB mathematicians develop new statistical method

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

Further information

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

Editor: Tabea Steinhauer

Dr. Josef König | idw
Further information:

Further reports about: RUB Statistics mathematics statistical method

More articles from Statistics:

nachricht 3% more academic staff at higher education institutions
03.07.2015 | Statistisches Bundesamt

nachricht Number of habilitations up 4% in 2014
17.06.2015 | Statistisches Bundesamt

All articles from Statistics >>>

The most recent press releases about innovation >>>

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

Im Focus: A Light Touch May Help Animals and Robots Move on Sand and Snow

Having a light touch can make a hefty difference in how well animals and robots move across challenging granular surfaces such as snow, sand and leaf litter. Research reported October 9 in the journal Bioinspiration & Biomimetics shows how the design of appendages – whether legs or wheels – affects the ability of both robots and animals to cross weak and flowing surfaces.

Using an air fluidized bed trackway filled with poppy seeds or glass spheres, researchers at the Georgia Institute of Technology systematically varied the...

Im Focus: Reliable in-line inspections of high-strength automotive body parts within seconds

Nondestructive material testing (NDT) is a fast and effective way to analyze the quality of a product during the manufacturing process. Because defective materials can lead to malfunctioning finished products, NDT is an essential quality assurance measure, especially in the manufacture of safety-critical components such as automotive B-pillars. NDT examines the quality without damaging the component or modifying the surface of the material. At this year's Blechexpo trade fair in Stuttgart, Fraunhofer IZFP will have an exhibit that demonstrates the nondestructive testing of high-strength automotive body parts using 3MA. The measurement results are available in a matter of seconds.

To minimize vehicle weight and fuel consumption while providing the highest level of crash safety, automotive bodies are reinforced with elements made from...

Im Focus: Kick-off for a new era of precision astronomy

The MICADO camera, a first light instrument for the European Extremely Large Telescope (E-ELT), has entered a new phase in the project: by agreeing to a Memorandum of Understanding, the partners in Germany, France, the Netherlands, Austria, and Italy, have all confirmed their participation. Following this milestone, the project's transition into its preliminary design phase was approved at a kick-off meeting held in Vienna. Two weeks earlier, on September 18, the consortium and the European Southern Observatory (ESO), which is building the telescope, have signed the corresponding collaboration agreement.

As the first dedicated camera for the E-ELT, MICADO will equip the giant telescope with a capability for diffraction-limited imaging at near-infrared...

Im Focus: Locusts at the wheel: University of Graz investigates collision detector inspired by insect eyes

Self-driving cars will be on our streets in the foreseeable future. In Graz, research is currently dedicated to an innovative driver assistance system that takes over control if there is a danger of collision. It was nature that inspired Dr Manfred Hartbauer from the Institute of Zoology at the University of Graz: in dangerous traffic situations, migratory locusts react around ten times faster than humans. Working together with an interdisciplinary team, Hartbauer is investigating an affordable collision detector that is equipped with artificial locust eyes and can recognise potential crashes in time, during both day and night.

Inspired by insects

Im Focus: Physicists shrink particle accelerator

Prototype demonstrates feasibility of building terahertz accelerators

An interdisciplinary team of researchers has built the first prototype of a miniature particle accelerator that uses terahertz radiation instead of radio...

All Focus news of the innovation-report >>>



Event News

EHFG 2015: Securing healthcare and sustainably strengthening healthcare systems

01.10.2015 | Event News

Conference in Brussels: Tracking and Tracing the Smallest Marine Life Forms

30.09.2015 | Event News

World Alzheimer`s Day – Professor Willnow: Clearer Insights into the Development of the Disease

17.09.2015 | Event News

Latest News

Siemens to build light rail vehicles for cities in the US

12.10.2015 | Press release

Siemens to add an additional 173 megawatts to Clyde onshore wind farm in Scotland

12.10.2015 | Press release

Scientists paint quantum electronics with beams of light

12.10.2015 | Physics and Astronomy

More VideoLinks >>>