Chalmers University of Technology

S-412 96 GÖTEBORG

SWEDEN

Phone: +46 31 772 35 78 (office) +45 45819390 (home)

Mobile +46 730 794222

Email: hrootzen@chalmers.se

Fellow IMS, Member ISI, co-editor Scandinavian Journal of
Statistics, associate editor Annals of Statistics and of Extremes, former editor Extremes and Bernoulli, elected member of the
Royal Swedish Academy of Science and of Kungliga
Fysiografiska
Sällskapet, leader of the Wallenberg project "Big Data and Big Systems - bridging local and global", senior researcher the Foundaton for Strategic Research project Material Structures Seen Through Microscopes and Statistics.

My present main interest is
mathematical and statistical theory for Extreme Episodes in random
processes, and to use the theory to solve practical problems. It
revolves around two mathematical themes: High-dimensional and detailed
statistical models and methods for extreme episodes; and the “shape” of
extreme episodes in non-differentiable Gaussian processes. Science and
technology are producing enormously large data sets, at an ever
increasing rate. These data sets are ready to be used for scientific
discovery and technological advance, in ways beyond present
imagination. The theory of extreme episodes will be one part of the
answer to this challenge, I believe. What is needed is a much more
sophisticated understanding of extreme behavior than what is given by
existing theory. The results will aid efforts to mitigate the impact of
the extreme floods, windstorms, and heat waves which might be caused by
a changing climate. They will lead to improved methods
to avoid both fatal and less serious car accidents, and they will be
used to diminish financial risks. Additional interests of mine are
discrete hedging and credit risk.

.
- Editorial
- Services, applied collaborations
- Posdocs and Graduate students
- Education and positions
- Invited talks since 2008

- Taming black swans with statistics, Rutgers, October 2013

- Design Life Level: quantifying risk in a changing climate, EVT 2013, Vimeiro, Sept 2013

- Understanding Big Data and Big Systems, Natural Sciences Faculty research day, Gothenburg University, May 2013

- Att skjuta svarta svanar med statistik,Vetenskapsfestivalen, April 2013

- Traffic safety research - a challenge for extreme value statistics, Recent Advances in Extreme Value theory, Lissbon 2013

- Optimal Discrete hedging and approximation of stochastic integrals, Quantitative Finance and
Risk Management, Changchun, 2012

- Matematik finns i allt, talk for the Minister of Education, May 2011
- Matematik finns i allt, talk for the board of the Swedish Foundation for Strategic Research, April 2011
- Chalmers e-science kick-off, February 2011
- Tail estimation for false positives in high-throughput testing, Extremes V, Lyon, 2011

- Limit Theorems for Empirical Processes of Cluster Functionals, Extremes VI, Fort Collins, 2009

- T. Hsing and H. Rootzén: Extremes on Trees.
*Ann. Probab. 33*, 413-444 (2005) Gzipped PS - C. W. Anderson, J. de Mare, and H. Rootzén: Methods for
estimating the sizes of large inclusions in clean steels.
*Acta Materialia 53*, 2295-2304 (2005) pdf - O. Perrin, H. Rootzén, and R. Taessler: A discussion of
statistical methods for estimation of extreme wind
speeds.
*Theoretical and Applied Climatology 85*203-215 (2006) Gzipped PS - A.L. Fougeres, S. Holm, and H. Rootzén: Pitting corrosion:
Comparison of treatments with extreme value distributed responses.
*Technometrics 48*, 262-272 (2006) pdf - J. Olsson and H. Rootzén: On the influence of the prior
distribution in image reconstruction.
*Computational Statistics 21*, 431-444 (2006) pdf - H. Rootzen and N. Tajvidi: The multivariate generalized Pareto
distribution.
*Bernoulli 12*, 917-930 (2006) pdf - A. Herbertsson and H. Rootzén: Pricing k-th-to-default swaps
under default contagion: the matrix-analythic method.
*J. Computational Finance, 12*, 49-78 (2008) pdf - H. Rootzen: Weak convergence of the tail empirical function for
dependent sequences.
*Stoch. Proc. Appl. 119*, 468-490 (2009) pdf - A.-L. Fougeres, J. Nolan, and H. Rootzén: Models for Dependent
Extremes Using Stable Mixtures.
*Scand. J. Statist. 36*42- 59 (2009) pdf - E. Brodin and H. Rootzén: Univariate and Bivariate GPD Methods
for Predicting Extreme Wind Storm Losses.
*Insurance: Mathematics and Economics 44*, 345-356 (2009) pdf - H. Drees and H.Rootzen: Limit Theorems for Empirical Processes of
Cluster Functionals.
*Ann. Statist. 38*, 2145–2186 (2010) pdf - C. Lindberg and H. Rootzén: Error distributions for random grid approximations of multidimensional stochastic integrals.
*Ann. Appl. Probab. 23,*834-857 (2013)

- H. Rootzén and R. Katz: Design Life Level: Quantifying risk in a changing climate, Water Resour. Res., 49, 5964–5972, doi:10.1002/wrcr.20425. (2013) pdf
- J. Jonasson and H. Rootzén: Internal validation of near-crashes in naturalistic driving studies: a continuous and multivariate approach. Accident Analysis and Prevention 62, 102-109 (2014) pdf
- H.Rootzen and D. Zholud: Efficient estimation of the number of false positives in high-throughput screening. Biometrika, to appear pdf supplementary material pdf
- H. Rootzén and D. Zholud: Tail estimation for window censored processes. Tecnometrics, to appear, posted online under "Latest articles" pdf supplementary material pdf

- Time series
- Random fields
- High-dimensional Data analysis

- Stochastic Centre in Gothenburg
- Material structures seen through microscopes and statistics

- Scandinavian Journal of Statistics
- Annals of Statistics

- Bernoulli
- Extremes
- SARMA, Nordic Network on Statistical Approaches to Regional Climate Models for Adaptation
- Extreme Value Statistics in Mathematics, Physics and Beyond. July 2011, the Lorentz Centre
- Environmental Risk and Extreme Events, Workshop, Ascona, July 10-15, 2011
- Symposium in the Honour of Martin Jacobsen, Copenhagen, March 25, 2011

- Finansiell risk
- Maths a Venir 2009
- MACSI-net

Last modified: Tue Sep 24 14:53:02 MET DST 2002