Robust Risk Estimation II - Multivariate and Dynamic Extreme Events with Possibly Misspecified Models
Abstract
In a one-years-extension of our previous project “Robust Risk Estimation”, we focus on multivariate aspects and dynamics of extreme events so far not yet covered in this detail. In all our reference applications, i.e., in financial risks of a bank, public health (hospital length of stay and costs), and hydrology (river discharge), there are important questions where these aspects cannot be ignored but rather have to be accounted for. With thin empirical evidence available to this end, misspecification becomes a central issue in the corresponding applications. As a remedy to some extent, we propose to enhance our robust procedures applying robust likelihood techniques to adjust our procedures in a way that they can adapt to minor to moderate model misspecifications. This continues our successful work on theoretical foundation, development and application of robust procedures for risk management of complex systems in the presence of extreme events. In particular this extends the applicability of our software infrastructure in R developed in the current project with its powerful set of diagnostic tools to assess influence and outlyingness of data.
keywords robust statistics extreme value theorie
Publikationen
Project staff
Bernhard Spangl
Dipl.-Ing. Dr. Bernhard Spangl
bernhard.spangl@boku.ac.at
Tel: +43 1 47654-85113
BOKU Project Leader
01.03.2015 - 30.11.2016
BOKU partners
External partners
University of Kaiserslautern
Dr. Sascha Desmettre
partner
University of Oldenburg
Prof. Peter Ruckdeschel
partner
Furtwangen University
Prof. Matthias Kohl
partner
Fraunhofer Institute for Industrial Mathematics ITWM, Kaiserslautern
Prof. Ralf Korn
coordinator