Program
Extremes In Random Fields: Theory and Applications
Student No.:50
Time:Tue. 10:10-12:00; Thu. 15:10-17:00
Instructor:Benjamin Yakir  [The Hebrew University]
Place:Lecture Hall, Floor 3, Jin Chun Yuan West Building (近春园西楼3层报告厅)
Starting Date:2012-7-5
Ending Date:2012-8-14

Course description:

 

This course deals with the probability theory for approximating the tail distribution of extreme values in random fields and the practical applications of this theory. Random fields are a collection of random variables that are index by a set. We will concentrate on the case where the set is a nice subset of the finite-dimensional Euclidean space.

 

Extremes of random fields are relevant in a wide range of applications. Some of the applications that we hope to cover are sequential and non-sequential methods for change-point detection, scanning statistics in a single system and in parallel systems, and queuing theory.

 

The emphasis in the course will be on the application a specific method for producing asymptotic results for the tail distribution of a random field. This method is based on a measure transformation technique that helps to separating between global and local effects that influence the distribution of extremes.

 

Prerequisite:

 

Basic knowledge in probability