USMA MA389: Extreme Value Theory and Applications
Course Page — Department of Mathematical Sciences
Course Page — Department of Mathematical Sciences
Overview of motivation, applications, and real-world contexts for EVT in engineering and finance.
Derivation and application of Gumbel, Fréchet, and Weibull distributions for modeling maxima.
Introduction to the Generalized Pareto Distribution (GPD) and threshold selection methods.
Robust estimation and model regularization under limited data and heavy-tailed uncertainties.
Dependence structures in joint extremes, copula formulations, and tail dependence modeling.
Simulation-based methods for rare event modeling, risk assessment, and predictive forecasting.