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, firstname.lastname@example.org
Editor: Tabea Steinhauer
Dr. Josef König | idw
3% more academic staff at higher education institutions
03.07.2015 | Statistisches Bundesamt
Number of habilitations up 4% in 2014
17.06.2015 | Statistisches Bundesamt
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...
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...
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...
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
An interdisciplinary team of researchers has built the first prototype of a miniature particle accelerator that uses terahertz radiation instead of radio...
01.10.2015 | Event News
30.09.2015 | Event News
17.09.2015 | Event News
12.10.2015 | Press release
12.10.2015 | Press release
12.10.2015 | Physics and Astronomy