DMS Statistics and Data Science Seminar

Speaker: Valérie Chavez (University of Lausanne)

Title: Extreme value theory and climate extremes

Abstract: The past few decades have seen extreme climate events affecting all regions of the world with catastrophic impacts on human society. Quantifying the risk of such events is difficult but necessary. In this context, methodologies based on extreme value theory play an important role. Extreme value theory (EVT) is the field of statistics dedicated to the study of events with low occurrence frequencies and large amplitudes.  In this talk, I will review some basics of EVT and provide some insights on how to use EVT to quantify the risk of such events.

Short Bio: Dr. Valérie Chavez-Demoulin is a Full Professor of Statistics at HEC Lausanne, University of Lausanne, specializing in statistical methods for quantitative risk management and statistical methodologies applied to operations management in general, and the statistical modeling of extreme events in particular. More recent methodological work concerns conditional dependence structures modeling, non-parametric Bayesian models, dynamic Extreme Value Theory models, and extremes for non-stationary time series. Chavez-Demoulin holds a Ph.D. in Statistics from EPFL. She is an elected member of ISI (The International Statistical Institute).