Developing Limit Theorems to better prepare the future
Department of Mathematics and Statistics
Professor Rafal Kulik, along with French research collaborators Philippe Soulier and Olivier Wintenberger, has been working on a project called “Extremal behaviour of regularly varying time series.”
Most financial, insurance and environmental data are “heavy tailed,” meaning that there is a significant probability of extreme events to occur, like rapid changes in a stock market. Modelling approaches based on a normal distribution are not suitable in these scenarios. Additionally, data has strong dependencies. In other words, past events can easily influence future events.
The collaborators on this project have developed limit theorems and new statistical techniques suitable for such types of data. Limit theorems allow the researchers to analyze the behaviour of different databased models when the sample size grows. Although the project is theoretical in nature, it has potential applications ranging from finance (e.g., risk management) to environmental protection (e.g., flood control).
University of Ottawa - Faculty of Science
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