Annual Report 2008.pdf - SAMSI

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9:00-10:15 Francis Zwiers, Canadian Centre for Climate Modeling Analysis of Extremes in Climate Science 10:15-10:30 Break 10:30-12:15 Pilar Munoz, Technical University of Catalonia Price, Volatility and Risk in the Electricity Markets 12:15-1:30 Lunch Bas Werker, Tilburg University The Asymptotic Structure of Nearly Unstable Nonnegative Integer-Valued AR(1) Models 1:30-2:00 New Researchers Session 2:00-2:30 Break Dominik Lambrigger, Eidgenossische Technische Hochschule Zurich Multivariate Extremes and the Aggregation of Dependent Risks: Examples and Counter-Examples 2:30-4:15 Gennady Samorodnitsky, Cornell University Inverse Problems for Regular Variation of Linear Filters SPEAKER ABSTRACTS Laurens de Haan Erasmus University Rotterdam ldhaan@few.eur.nl John Nolan, American University Stable Laws and Extreme Value Laws “On Spatial Extremes: With Application to a Rainfall Problem” We consider daily rainfall observations at 32 stations in the province of North Holland (The Netherlands) during 30 years. Let Q be the total rainfall in this area on one day. An important question is: what is the amount of rainfall Q that is exceeded once in 100 years? This is clearly a problem belonging to extreme value theory. Also it is a genuinely spatial problem. Recently, a theory of extremes of continuous stochastic processes has been developed. Using the ideas of that theory and much computer power (simulations) we have been able to come up with a reasonable answer to the question above. Debbie Dupuis HEC Montréal debbie.dupuis@hec.ca
“Robust Prediction Error Criterion for Pareto Modeling of Upper Tails” Estimation of the Pareto tail index from extreme order statistics is an important problem in many settings: income distributions, finance, and insurance. The upper tail of the distribution, where data are sparse, is typically fitted with a model such as the Pareto model from which quantities such as probabilities associated with extreme events are deduced. The success of this procedure relies heavily not only on the choice of the estimator for the Pareto tail index but also on the procedure used to determine the number k of extreme order statistics used for the estimation. We develop and investigate a robust prediction error criterion to choose k and estimate the Pareto index. The analysis of real data sets shows that a robust procedure for selection, and not just for estimation, is needed. Vicky Fasen Munich University of Technology fasen@ma.tum.de “Extremes of Autoregressive Threshold Processes” We study the tail and the extremal behavior of stationary solutions of autoregressive threshold (TAR) models. It is shown that a regularly varying noise sequence leads only to an O-regularly varying stationary solution in general. Under further conditions on the partition, it is however shown that TAR(S,1) models of order 1 with S regimes have regularly varying tails, provided the noise sequence is regularly varying. In these cases, the stationary solution is even multivariate regularly varying and its extremal behavior is studied via point process convergence. In particular, a TAR model with regularly varying noise can exhibit extremal clusters. This is in contrast to TAR models with noise in the maximum domain of attraction of the Gumbel distribution and which is either subexponential or in L(gamma) with gamma > 0. In that case it turns out that the tail of the stationary solution behaves like a constant times that of the noise sequence, regardless of the order and the specific partition of the TAR model, and that the process cannot exhibit clusters on high levels. Dominik Lambrigger Eidgenossische Technische Hochschule Zurich dominik.lambrigger@math.ethz.ch “Multivariate Extremes and the Aggregation of Dependent Risks: Examples and Counter- Examples” Properties of risk measures for extreme risks have become an important topic of research. In the present paper we discuss sub- and superadditivity of quantile based risk measures and show how multivariate extreme value theory yields the ideal modeling environment. Numerous examples and counter-examples highlight the applicability of the main results obtained. Ross Leadbetter University of North Carolina, Chapel Hill
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NSF Annual Report 2007-2008 Submitt
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Education and Outreach • 2-Day Wo
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C. Directorate’s Summary of Chall
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National Leadership and Involvement
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D. Synopsis of Developments in Rese
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the efficient treatment of complex
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c) RANDOM MEDIA Much of the work of
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2. Human Resource Development SAMSI
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[it] from time to time.” (M. Rose
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Undergraduate Workshops 2007-08 Sum
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3. Education The impact of SAMSI co
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The working group Climate and Weath
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oundary method as a means to impose
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assumed full responsibility for the
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I. Annual Progress Report The previ
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Kazi Ito NCSU Mathematics Ralph Smi
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2007-08 Sensor Networks Transition
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Environmental Sensor Networks Progr
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Yang Yu Zhang Zhong Zhu Jun Bin Yi
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Mattingly McKinley Minion Mitran Ng
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Cheng Choi Clark Cooley Das Das Del
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Ren Resnick Rios Cuirong Sidney Jes
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Rosenblum Rotnitzky Scharfstein Sun
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B. Postdoctoral Fellows This sectio
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Administrative Mentor: Michael Mini
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We consider modeling multiple risk
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1. Statistics Department Seminar, C
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Presentations: Change of Spatiotemp
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Presentations: “Some Thoughts on
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Theory for multiple change-point se
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2. Discovering Game Theoretic Conce
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“Work on numerical large deviatio
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contributing team member, as often
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accuracy of the solutions. Some pre
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Continuing Collaborations: Helen Zh
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7 th World Congress in Probability
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N/A 9. Other Research while at SAMS
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Risk analysis (multivariate extreme
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Jesus Rios Plans for 2008-10 I will
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Communication: --a consistent, time
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C. Graduate Student Participation 1
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Elijah Gaioni (University of Connec
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Xiaoyan’s thesis work is on devel
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Jason Wilson (Duke) is involved in
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Ilka A. Reis (National Institute fo
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4. Challenges in Dynamic Treatment
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4.5 Program Activities The program
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which held morning and afternoon se
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• B. Carlin (Biostatistics, Unive
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Also following from the program, se
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4.11 Summary of Exciting Research a
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interested students and faculty, an
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6. Education and Outreach Program T
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Cherokee Investment Partners, Const
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G. Publications and Technical Repor
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• Ma, C. “Construction of Non-G
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• Bayarri, M.J., J. Berger, F. Li
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• Vernieres, G., Gremaud, P., Olu
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• Krishnapur, M., Zeitouni, O., R
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• Hou, S., K. Huang, K. Solna, an
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• Das, S., “Analyzing Fatal Dri
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H. Diversity Efforts SAMSI puts con
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(University of Utah) and Natallia K
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2007-08 Random Media Opening Worksh
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2. Affiliate Involvement 2.1 Backgr
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J. Advisory Committees Committee Na
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Institute directors agree to inform
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analysis of DNA and protein sequenc
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University), Jeremy Gunawarden (Har
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Many problems and existing simulati
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Carolina), Gareth Peters (New South
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actually replace individual analyse
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effect parameter of interest prior
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with structures that are not tempor
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about confidence in results. Furthe
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2. Stochastic Dynamics 2.1 Overview
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Michael Reed (Mathematics, Duke), G
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These two approaches, through the u
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• Li Lexin (North Carolina State
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At NCAR, Boulder, Colorado and orga
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SAMSI working groups. Participation
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certain distances, be used to captu
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subject to the l 1 constraint. Zou
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3. Breiman, L. (1996): Heuristics o
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enabled high virtual attendance by
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(b) Estimation of large random matr
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We have already discussed problems
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Appendix C. Workshop Participant Li
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Sanso Bruno Male University of Cali
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Compmod New Methods and Case Studie
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El Karoui Nourredine Male UC Berkel
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Education and Outreach Program SAMS
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Sutton Karyn Female NCSU Mathematic
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Lin Rongheng Male U Mass Biostatist
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Geometry and Statistics of Shape Sp
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Heo Giseon Female Hirani Anil Male
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Pennec Xavier Male Pike Brian Male
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Yasamin Saeid Male Yezzi Anthony Ma
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Daum Keith Male Idaho National Labo
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Langstaff John Male Laurey Terri Fe
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Sedransk Nell Female NISS Statistic
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Risk PPP Workshop Workshop Particip
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Rezaei Mahmoud Male Clemson Mathema
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Lysenko Natalia Female ETH Zurich S
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Biondini Gino Male State U New York
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Khatri Shilpa Female Courant Instit
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Spiller Elaine Female SAMSI Mathema
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Interface Workshop Workshop Partici
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Cheney Margaret Female Rensselaer P
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Agarwal Ankit Male U Kansas Enginee
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Lahiri Soumendra Male Texas A & M U
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Last Name SAMSI/CRSC Industrial Mat
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Reale- Levis Jim Male NCSU Engineer
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Gray William Male U. North Carolina
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Serban Nicoleta Female Georgia Inst
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Brotherson Temitope Female NJ Scien
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Frink Kaiem Male Elizabeth City Sta
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Jones Dana Female Bennett College f
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Munoz Breda Female RTI Internationa
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Smith Ralph Male NCSU Mathematics F
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Undergraduate Two-Day Workshop Part
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Schmidt Courtney Female Georgetown
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Schaeffer Amanda Female U Arizona M
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Presentation Chris Snyder, NCAR/MMM
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Chair of Afternoon Session Tom Sant
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1:00-2:15 Lunch Chair of Afternoon
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“Calibration of a Numerical Model
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model. The output is functional dat
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santner.1@osu.edu “Optimization o
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greatly from the active support of
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“Blind Kriging: a New Method for
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10:00-10:30 Break Characterizing th
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— hist_pie.m — hist_pie_exercis
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9:00 Presentations and Discussion
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11:25-11:55 From Population to Indi
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4:00 - 5:30 Shapes in Medical Imagi
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4:15 - 4:45 Discussion Panel Wednes
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dcremers@cs.uni-bonn.de “Shape In
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We will construct epsilon entropy e
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Department of Statistics flb@stat.w
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University of California Los Angele
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2:45 - 3:15 Break N. D. Shyamal Kum
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2:15 - 4:00 Working Group Formation
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and public health questions; little
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Howard Kunreuther University of Pen
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series. We propose a specific class
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Interface Tracking in Connection to
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Purdue University Center for Comput
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of the solution. Here we reveal a s
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Page 309 and 310: Knut Solna University of California
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Page 313 and 314: X. Program on Risk Analysis, Extrem
Page 315 and 316: SPEAKER ABSTRACTS Chair: David Bank
Page 317 and 318: Thoughts on the Use of Decision Ana
Page 319 and 320: Bias Correction in Pharmaceutical R
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Page 325 and 326: Concha Gomez, University of Wiscons
Page 327 and 328: Iris Mack, Phat Math, Inc. and Flor
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Page 337 and 338: 9:00-9:05 Alan Karr, National Insti
Page 339 and 340: 3:30 - 4:00 Coffee Break Soumen Lah
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Page 343 and 344: Jennifer Hoeting Colorado State Uni
Page 345 and 346: kogle@uwyo.edu “Data-Model Integr
Page 347 and 348: “Compression and Analysis of Gold
Page 349 and 350: "A Cost-Efficient Approach to Wirel
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Page 361 and 362: "The Asymptotic Structure of Nearly
Page 363 and 364: SAMSI madar@post.tau.ac. “Bayesia
Page 365 and 366: 11:30 - 12:00 Discussion Session 12
Page 367 and 368: garnier@math.jussieu.fr “Wave Pro
Page 369 and 370: has lagged. While it is quite clear
Page 371 and 372: Appendix E - Workshop Evaluations E
Page 373 and 374: E.2 Evaluation of Scientific Conten
Page 375 and 376: E.3 Evaluation of Staff Percent of
Page 377 and 378: E.5 Evaluation of Lodging Evaluatio
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