from 16.10.23 to 20.10.23

Modeling and statistical analysis of extremes in time series

at the University of Copenhagen



The course constitutes the 4EU+ alliance Flagship 3 summer school 2023. It is also supported by the CNRS IRN MaDeF.




(Registration at the bottom)

The understanding of the appearance of extremes in real-life time series (such as weather and climate observations, returns of stock prices, exchange rates, and stock indices, insurance claim data, failures in energy and social networks) requires suitable probabilistic models and their statistical analyses. Over the last 15-20 years such models and statistical tools have been developed under the assumption of serial dependence. They supplement classical extreme value analysis which deals with independent data.

The goals of the course are

The course aims at PhD and advanced Master's students in statistics, probability theory, and econometrics, or with a background in the aforementioned areas such as physics, and geosciences.

The course constitutes the 4EU+ alliance Flagship 3 summer school 2023. It is also supported by the CNRS IRN MaDeF.


The course corresponds to 2 ECTS and is free of charge. The participants are expected to have a background in probability theory, applied stochastic processes, and statistics.

The coding language is R. Useful R packages to pre-install prior to the course: 

evd; extRemes; ismev; lubridate; data.table; readr; dqrng; latticeExtra; SpatialExtremes.

Suggested reading material can be found here.



The Speakers

Thomas Mikosch

University of Copenhagen

Olivier Wintenberger

Sorbonne University and Pauli-Institut Wien

Daniela Castro-Camilo

Glasgow University

Valerie Chavez-Demoulin 

HEC Lausanne

Philippe Naveau

Laboratoire des Sciences du Climat et de l’Environnement

Kirstin Strokorb

Cardiff University 

Chen Zhou

Erasmus University



The Venue

Department of Mathematical Sciences 

Universitetsparken 5, 2100 København Ø

The Department of Mathematical Sciences at the University of Copenhagen is a vibrant and highly-regarded academic community of researchers, educators, and students dedicated to advancing the field of mathematics.

The department is known for its world-class faculty, diverse student body, and collaborative research culture, making it an ideal environment for students and researchers alike to explore the beauty and power of mathematics.




If you wish to participate, please fill out the following form before the 15th of September 2023:

For any further questions contact Martin Bladt: