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Dettaglio Insegnamento

Contesto
Anno Accademico 2021/2022
Corso di Studi Dott. - MI (1378) Ingegneria Ambientale e delle Infrastrutture / Environmental and Infrastructure Engineering
Anno di Corso 1

Scheda Insegnamento
Codice Identificativo 098736
Denominazione Insegnamento MODELLING EXTREMES AND DEPENDENCE IN MULTIVARIATE PROBLEMS
Tipo Insegnamento MONODISCIPLINARE
Crediti Formativi Universitari (CFU) 5.0
Programma sintetico 1) UNIVARIATE EXTREME VALUE THEORY (1.1 Order Statistics 1.2 Extreme value theory and asymptotic extreme value distribution 1.3 Return period, Hazard and Risk) with examples from hydrology, geosciences, finance and economics. 2) MULTIVARIATE EXTREME VALUE THEORY (Multivariate Extreme Value Distributions 2.2 Characterizations of the domain of attraction 2.3 Multivariate dependence 2.4 Multivariate return periods). 3) COPULAS (3.1 Copulas and Sklar theorem; 3.2 Archimedean copulas; 3.3 Return periods via copulas, and the concept of dynamic return period; 3.4 Tail dependence; 3.5 Extreme value copulas; 3.6 Simulations of multivariate random samples). Examples selected from hydrology, geosciences, finance and economics will be illustrated. 4) DEPENDENCE (4.1 concepts of dependence in bivariate and multivariate framework; 4.2 Measures of association in bivariate and multivariate framework). Examples from hydrology, geosciences, finance and economics. 5) HAZARD, RISK and DESIGN IN MULTIVARIATE PROBLEMS (5.1 multivariate design quantile; 5.2 design of engineering works in multivariate framework; 5.3 verification of engineering works in multivariate framework; 5.4 Hazard trajectories and Hazard Fan; 5.5 evaluation of the risk and structural risk in multivariate framework). Examples selected from hydrology, geosciences, finance and economics will be illustrated.
Settori Scientifico Disciplinari (SSD)
Codice SSD Descrizione SSD CFU
ICAR/02 COSTRUZIONI IDRAULICHE E MARITTIME E IDROLOGIA 5.0

Dettaglio
Scaglione Docente Programma dettagliato
Da (compreso) A (escluso)
A ZZZZ De Michele Carlo
manifestidott v. 1.7.0 / 1.7.0
Area Servizi ICT
12/08/2022