Holger Rootzén

Mathematical Sciences, Chalmers
Mobile +46 730 794222, e-mail: hrootzen@chalmers.se

Fellow of  the Royal Swedish Academy of Science,  fellow of the Royal Physiographic Society of Lund, fellow of the  IMS, member ISI, adjunct member committee for awarding the Swedish National Bank's Prize in Economic Sciences in Memory of Alfred Nobel, associate editor Annals of Statistics, Journal of the American Statistical Association, and Extremes, former editor Extremes, Bernoulli, and Scandinavian Journal of Statistics,  leader the KAW project "Big Data and Big Systems - bridging local and global", co-applicant the SSF project Material Structures Seen Through Microscopes and Statistics.

Some interests

My research is about random processes. High-dimensional statistics for extreme episodes; the "shape" of extreme episodes in non-differentiable Gaussian processes; and whether human lifelenght is bounded or not, is what I think most about right now. I try to contribute to mitigation of the impact of extreme floods, windstorms, and heat waves caused by climate change, to financial risk handling, and to modelling microscopic structures of soft materials. 

Some papers (Full list, Google Scholar)

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 , 345-35 (2009) pdf
H. Drees and H.Rootzen: Limit Theorems for Empirical Processes of Cluster Functionals. Ann. Statist. 38, 2145–2186 (2010) pdf  Correction note pdf
C. Lindberg and H. Rootzén: Error distributions for random grid approximations of multidimensional stochastic integrals. Ann. Appl. Probab. 23,    834-857 (2013) pdf
H. Rootzén and R. Katz: Design Life Level: Quantifying risk in  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
T. Hsing and H. Rootzén: An interrview with Ross Leadbetter. Extremes 18,  529-561 (2015) pdf
H.Rootzen and D. Zholud: Efficient estimation of the number of false positives in  high-throughput screening. Biometrika102, 695-704 (2015) pdf supplementary material pdf
H. Rootzén and D. Zholud: Tail estimation for window censored processes. Technometrics 58, 95-103 (2016) pdf  supplementary material pdf
H. Rootzén and D. Zholud: Human life is unlimited - but short. Extremes  20713–728 (2017) pdf supplementary material: LATool a matlab toolbox
H. Rootzén,  J. Segers and  J.L. Wadsworth: Multivariate peaks over thresholds models. Extremes 21115–145 (2018)  pdf
H. Rootzén and D. Zholud: Rejoinder to discussion of the paper "Human life is unlimited – but short". Extremes  21, 415-424  (2018) pdf  Supplementary material pdf
H. Rootzén, J. Segers, and J.L. Wadsworth: Multivariate generalized Pareto distributions: parametrizations, representations, and properties. J. Multivariate Anal. 165, 117-131 (2018) pdf
A. Kiriliouk, H. Rootzén, J. Segers and J. L. Wadsworth:  Peaks over thresholds modeling with multivariate generalized Pareto distributions. Technometrics, online (2018)  pdf Supplementary material pdf code 
S. Barman, H. Rootzén and D. Bolin: Prediction of diffusive transport through polymer films from characteristics of the pore geometry.  AIChE Journal, 65, 446-457 (2019) pdf Supplementary information pdf


Extremes and Related Properties of Random Sequences and ProcessesExtreme Values in Finance, Telecommunications, and the EnvironmentStationary Stochastic Processes for Scientists and Engineers book cover

Some talks

SAFIM Accra August 2018 workshop lectures; Extreme value statistics for financial risk,  Lecture 1,   Lecture 2,  Lecture 3,  Lecture 4,  Lecture 5
Human life is unlimited - but short, UNC Chapel Hill, November 2017
Quantifying risk in a changing climate, BIRS workshop: Challenges in the Statistical Modeling of Stochastic Processes for the Natural Sciences, August 2017
Multivariate peaks over thresholds modelling: theory, and examples from landslide and river network risk estimation,World environmental and water resources congress, Sacramento May 2017
Multivariate GP distributions: portfolio risk estimation, prediction of flu epidemics, landslide risk modelling, Conditional independence structures and extremes, Munchen October 2016
Extreme value statistics: from one dimension to many, Part 1;  Part 2, Two hour survey lecture,  Nordstat 2016, Copenhagen June 2016
Design Life Level: quantifying risk in a changing climate, World environmental and water resources congress, West Palm Beach May 2016
Café-ĺ-lär, Gothenburg, April 2016
Extreme value methods, tail estimation for window-censored 0-1 processes, and car accidents, Columbia University, December 2015
Error distribution of random grid approximations of mulltidimensional stochastic integrals, CIRM Workshop, Luminy July 2014
Taming black swans with statistics, Rutgers, October 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
Matematik finns i allt, talk for the Minister of Education, May 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 Editorial; Services and applied collaborations;  Postdocs and graduate students; Education and positions; Invited talks since 2008

Some links