Large number of random driving
forces acting in a synchronised way may generate complex phenomena with
non-linear inner interdependence. Complex modelling, identification of
the interdependence structure, description of extremal behaviour, and
long-term prediction — all heavily influenced by non-linearity — are the
focus of interest of the research group. The problems we consider
originate mainly from environmental applications, financial and
actuarial risk management. Solutions may be provided by theoretical
considerations as well as simulations, bootstrapping and cross
validation techniques.
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