Details of Grant 

EPSRC Reference:	GR/M44316/01
Title:	MODELLING EXTREME EVENTS FOR MULTIVARIATE AND TEMPORAL PROCESSES
Principal Investigator:	Tawn, Professor J
Other Investigators:
Researcher Co-Investigators:
Project Partners:
Department:	Mathematics and Statistics
Organisation:	Lancaster University
Scheme:	Standard Research (Pre-FEC)
Starts:	01 July 1998	Ends:	31 December 2001	Value (£):	108,897
EPSRC Research Topic Classifications:	Statistics & Appl. Probability
EPSRC Industrial Sector Classifications:	No relevance to Underpinning Sectors
Related Grants:
Panel History:
Summary on Grant Application Form
The proposal aims to develop a probabilistic framework and practical statistical techniques for analysing the extreme events of multivariate processes and time series data. The approach will provide far greater generality and flexibility than existing methods in both of these contexts, and for time series the approach will provide a systematic framework that enables all aspects of the temporal characteristics of extreme events to be exploited, modelled and extrapolated. The novel approach to be taken is to model the dependence between variables through a limiting representation of their joint survivor function over a joint tail region. This approach contrasts with existing methods which model the dependence using a class derived for component-wise maxima. For the bivariate case Ledford and Tawn (1996, 1997) illustrated the benefits of this approach in both theoretical and applied problems. We aim to extend these methods to modelling multivariate and time series extreme events, and also develop a semi parametric inferential framework which overcomes the limitations of parametric modelling in the bivariate case and extends to both multivariate and time series contexts. The techniques are of fundamental importance in a range of industrial design and environmental applications. We will study a range of these and focus particularly on problems of rainfall extremes at different aggregation levels.
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Organisation Website:	http://www.lancs.ac.uk