Personal Data

Full name

Ana Maria Santos Ferreira Gorjão Henriques

Publishing name

Ferreira A.

Birthday

1969-09-21T00:00:00

Academic Degrees

DOUTORAMENTO(0)

Degree date

2002

Final grade

n/a

Degree granting institution

Outra

School / College / Campus

Other

Thesis title

Statistics of Extremes: Estimation and Optimality

Supervisor

Prof. dr John H.J. Einmhal

Co-supervisor

Prof. dr Laurens de Haan

Scientific area

Matemática

MESTRADO(1)

Degree date

1997

Final grade

Muito Bom

Degree granting institution

Universidade de Lisboa

School / College / Campus

Faculdade de Ciências

Thesis title

O Modelo Generalizado de Pareto em Teoria de Valores Extremos

Supervisor

Professora Maria Ivette Gomes

Co-supervisor

-

Scientific area

Matemática

LICENCIATURA(5)

Degree date

1993

Final grade

Bom

Degree granting institution

Universidade Técnica de Lisboa

School / College / Campus

Instituto Superior Técnico

Thesis title

Modelação Estocastica da Altura Significativa de Onda

Supervisor

Prof. João Amaral

Co-supervisor

-

Scientific area

Matemática

Profissional activity

Period Position Institution
03-12-2002 - Professora Auxiliar Instituto Superior de Agronomia da Universidade Técnica de Lisboa
03-06-1997 - 02-12-2002 Assistente Instituto Superior de Agronomia da Universidade Técnica de Lisboa
29-10-1996 - 02-06-1997 Assistente Estagiária Instituto Superior de Agronomia da Universidade Técnica de Lisboa
01-10-1992 - 28-02-1996 Monitora Instituto Superior Técnico da Universidade Técnica de Lisboa

Area of scientific activity

Area of scientific activity

Mathematics: Probability and Statistics: Extreme Value Theory and Applications in Environmental, Climate, Finance, Insurance, etc. Stochastic processes.

Mathematics: Probability and Statistics: Extreme Value Theory and Applications in Environmental, Climate, Finance, Insurance, etc. Stochastic processes.

Mathematics: Probability and Statistics: Extreme Value Theory and Applications in Environmental, Climate, Finance, Insurance, etc. Stochastic processes.

Specialization domain

Mathematics: Probability and Statistics:
1. Time Series and applications in monitoring wave high
2. Extreme value theory: regular variation, asymptotic theory, estimation, multivariate analysis, dependence, stochastic processes, simulations, optimality
3. Applications in extreme value theory: financial stochastic and monitoring waves and rainfall

Current main scientific area

1. Extreme value theory: regular variation, asymptotic theory, estimation, multivariate analysis, dependence, stochastic processes, random measures and point processes, spatial statistics, simulations, optimality
2. Applications in extreme value theory: financial stochastic, hydrology and monitoring natural phenomena, environmental problems

Other scientific activities

PhD Committees (Principal discussant):
4. M.Thomas OPITZ (2013), Universite Montpellier II, France.
3. Martin Hofmann (2012), University of Wuerzburg, Germany.
2. Cláudia Neves (2006), FCUL, Portugal.
1. Ana Martins (2005), UBI, Portugal.

Referee for: Bernoulli, Extremes, Colombian J. of Statist., Statist. and Computing, Statist. and Probab. Letters, Statistical Portug. Soc., Math. Portug. Soc., Wiley&Sons Inc., J. Royal Statist. Soc., Ann. of Statist., Scand. J. Statist., J. Multi. Analysis, Stoch. Models, Comm. Statist., J. Stat. Plann. Inference, Electr. J. Statist., J. Statist. Theory and Practice, Stud. Nonlinear Dynamics and Econometrics.

Invitations:
4. Mannheim University, Germany, by Prof. Martin Schlather, 25--29/11/2013.
3. Erasmus University Rotterdam, by Prof. dr. Chen Zhou, 14--24/09/2011.
2. University of Bern, Switzerland, by Prof. Juerg Husler, 19/09/2010 -- 9/10/2010.
1. Erasmus student at Univ. College London (selected with UTL grant)

Experience as scientific advisor

Without orientations

Participations in R&D projects

9. Member of EXPL/MAT-STA/0622/2013 - Developments of extremes in time and space (evaluation: 8). PI: Prof. Cláudia Neves. CEAUL Starting: 2014.

8. Member of MODEXTREME - Modelling vegetation response to extreme events (EU FP7 program). PI: Gianni Bellocchi, INRA, France. Starting: 2013.

7. Member of PTDC/MAT/112770/2009 (evaluation: excellent), since 1/01/2011. PI: Prof. Laurens de Haan, FCUL.

6. Member of "RISK, RARE EVENTS AND EXTREMES", from 1/07/2009 to 31/07/2009. PI: Anthony Davison, EPFL, Lausanne, Switzerland.

5. Member of PTDC/MAT/64924/2006, Spatial extremes (EXES), from 1/07/07 to 31/12/2010. PI: Prof. Laurens de Haan, FCUL.

4. Member of POCTI/MAT/58876/2004, "Extremos, Risco, Segurança e Ambiente (ERAS)", from 1/03/05 to 1/03/08. PI: Prof. Maria Ivette Gomes, FCUL.

3. Member of POCTI/33477/MAT/2000, Extreme Values and Re-sampling Techniques (VEXTRA), from 2000 to 2003. PI: Prof. Maria Ivette Gomes, FCUL.

2. Member of 2/2.1/MAT/429.94, MODEST: STATISTICAL MODELING (EXTREME VALUES AND ADDITIVE LAWS), from 1997 to 2000. PI: Prof. Maria Ivette Gomes, FCUL.

1. Member of PAMAF, "Métodos quantitativos, estratégias de validação e de recolha de informação de suporte ao conhecimento e análise objectiva da dinâmica de ocupação do solo para fins múltiplos, em Portugal Continental", from 1997 to 1999. PI: Prof. António St.Aubyn, ISA.

Awards

Year Award Awarding entity

Publications

Outras publicações

  • 1. (Invited) Ferreira A. e de Haan L. (2010)
    Processos Max-Estáveis: Uma caracterização simples e exemplos
    Boletim da Sociedade Portuguesa de Estatística (Bulletin of the Statistical Portuguese Society), Outono 2010, 17--22

    2. Ferreira, A. and de Vries, C. (2004)
    Optimal confidence intervals for the tail index and high quantiles.
    Discussion paper, Tinbergen Institute, The Netherlands
    [Cited by 6]

Teses

  • 3. Ferreira, A. (2002)
    Statistics of Extremes: Estimation and Optimality.
    PhD thesis, Tilburg University.
    Center Dissertation Series, No.107, The Netherlands.

    2. Ferreira, Ana Maria (1997)
    O Modelo Generalizado de Pareto em Teoria de Valores Extremos
    Tese de Mestrado, Faculdade de Ciências da Universidade de Lisboa.

    1. Ferreira, Ana Maria (1993)
    Modelação Estocástica da Altura Significativa de Onda.
    Trabalho final de curso. Instituto Superior Técnico.

Publicações em actas de encontros científicos

  • 9. Ferreira, A. (2012)
    Properties of the areal coefficient.
    METMAVI Extended abstracts, METMAVI Book of Proceedings, ISBN: 978-989-97939-0-3.

    8. (Invited) Ferreira, A. (2010)
    Spatial Extremes and High Quantile Estimation of Aggregated Rainfall
    Proceedings of the 45th Scientific Meeting of the Italian Statistical Society, Padua 16-18 June.

    7. Ferreira, A. e Ferreira, H. (2007)
    Estimation of the extremal index for stationary sequences under a specified stability condition.
    Proceedings of the 56th Session of the ISI, Portugal.

    6. (Invited) Ferreira, A. (2006)
    Topics on Multivariate and Infinite-Dimensional Extremes.
    In Fraga Alves, M.I. and Gomes, M.I. eds.
    Extremes Day in Honour of Laurens de Haan: Extremes, Risk, Safety and the Environment.

    5. Ferreira, A. e de Haan, L. (2005)
    Estimação da probabilidade de ocorrência de um conjunto extremo.
    Título: Estatística Jubilar. Actas do XII Congresso da Sociedade Portuguesa de Estatística.
    Editores: Carlos A. Braumann, Paulo Infante, Manuela M. Oliveira, Russell Alpízar-Jara, Fernando Rosado
    Editora: Edições SPE, 255-262.

    4. Ana M. Ferreira (1998)
    XTREMES: Exemplos de Aplicação.
    Actas do V Congesso Anual da Sociedade Portuguesa de Estatística (SPE), Curia, Portugal.

    3. Guedes Soares, C. and Ferreira, A.M. (1994)
    Analysis of the Seasonality in Non-Stationary Stochastic Models of Significant Wave Height.
    Proceedings: Second International Conference on Computational Stochastic Mechanics,
    1-10, Athens, Greece.

    2. Ferreira, A.M., Amaral, J. e Guedes Soares, C. (1994).
    Aplicação de um Modelo Autoregressivo de Médias Móveis a Séries Temporais da Altura
    Significativa de Onda.
    Actas do II Congresso Anual da SPE, 115-132, Luso, Portugal.

    1. Guedes Soares, C., Ferreira, A.M. and Cunha, C. (1994).
    Auto-regressive Model for the Long-Term Series of Significant Wave Height in the Portuguese Coast.
    Proceedings of the French-Portuguese Seminar on Modelling in Maritime Hydraulics:
    Modelling of Coastal and Estuarine Processes, 59-70, F.J. Seabra e A. Temperville, Coimbra, Portugal.

Artigos em revistas de circulação internacional com arbitragem científica

  • 8. Ferreira, A. and de Haan, L. (2013)
    The generalized Pareto process; with a view towards application and simulation.
    Bernoulli: accepted for publication.

    7. Ferreira A., de Haan L. and Zhou C. (2012)
    Exceedance probability of the integral of a stochastic process.
    Journal of Multivariate Analysis 105(1), 241–257.
    [IF: 1.0]

    6. Drees, H., Ferreira, A. and de Haan, L. (2004).
    On maximum likelihood estimation of the extreme value index.
    Annals of Applied Probability 14(3), 1179-1201.
    [IF: 1.1; Cited by 73]

    5. Draisma, G., Drees, H., Ferreira, A. and de Haan, L. (2004).
    Bivariate tail estimation: dependence in asymptotic independence.
    Bernoulli 10(2), 251-280.
    [IF: 1.0; Cited by 63]

    4. Ferreira, A., de Haan, L. and Peng, L. (2003).
    On optimizing the estimation of high quantiles of a probability distribution.
    Statistics 37(5), 401-434.
    [IF: 0.7; Cited by 42]

    3. Ferreira, A. (2002).
    Optimal asymptotic estimation of small excedance probabilities.
    J. Statist. Plann. Inference 104, 83-102.
    [IF: 0.7; Cited by 8]

    2. Guedes Soares, C. and Ferreira, A.M. (1996).
    Representation of Non-Stationary Time Series of Significant Wave Height With Autoregressive Models.
    Probabilistic Engineering Mechanics, 11, 139-148.
    [IF: 1.3]

    1. Guedes Soares, C., Ferreira, A.M. and Cunha, C. (1996).
    Linear Models of the Time Series of Significant Wave Height in the Southwest Coast of Portugal.
    Coastal Engineering, 29, 149-167.
    [IF: 1.6]

Capítulos de livros

  • 2. Ferreira, A. (2008)
    Extreme Values in Reliability
    In: Encyclopedia of Quantitative Risk Assessment and Analysis,
    Melnick, E., and Everitt, B. (eds).
    John Wiley & Sons, Ltd, Chichester, UK.

    1. Ferreira, A. (1997).
    Extreme Sea Level in Venice.
    In: Extreme Value Analysis with XTREMES, R.-D. Reiss and M. Thomas (Editors),
    Birkhäuser Verlag, Basel.

Livros (autor)

  • De Haan, L. and Ferreira, A. (2006)
    Extreme Value Theory: An Introduction (417 pp.).
    Springer, Boston.
    [Cited by 520 (Google Scholar)]

Communications

Comunicações orais por convite

31. Research Seminar: High quantile estimation and the effect of spatial aggregation applied to precipitation extremes.
Mannheim University, Germany, November 27, 2013.

30. Multivariate Pareto distributions: properties and examples.
EVT 2013 - Extremes in Vimeiro Today, Vimeiro, Portugal, September 8-11, 2013.
http://evt2013.weebly.com/index.html

29. Estimation of extreme events from spatial rainfall data.
59th World Statistics Congress, Hong Kong, China, 25-30 August 2013.
http://www.isi2013.hk/en/about.php

28. The Generalized Pareto process and the peaks-over-threshold method.
8th conference on extreme value analysis, probabilistic and statistical models and their applications, Fudan University, Shanghai, China, July 8-12, 2013.
http://eva.fudan.edu.cn

27. The generalized Pareto process; characterizations and properties.
Workshop on spatial extreme value theory and properties of max-stable random fields.
University of Poitiers, November 9, 2012. France.
http://www-math.univ-poitiers.fr/~dombry/workshop

26. Max-stable Processes: some Characterizations, Properties and Examples.
Workshop on Multivariate and Spatial Extremes, October, 13-14, 2011, University of Beira Interior, Covilha, Portugal. (http://webx.ubi.pt/~wmse2011/)

25. Max-stable processes: a simple characterization, examples and applications.
Institute of Mathematical Statistics and Actuarial Science, University of Bern, Switzerland, 22 September 2010

24. Spatial Extremes and High Quantile Estimation of Aggregated Rainfall.
45th Scientific Meeting of the Italian Statistical Society, June 16-18, 2010

23. Extremes of the integral of a stochastic process and tail probability estimation.
Spatial Extremes and Applications, RISK, RARE EVENTS AND EXTREMES, EPFL, Lausanne, Switzerland 13-17 July 2009

22. On estimating extreme tail probabilities of the integral of a stochastic process.
Spatial Extremes, Theory and Applications (SETA) Workshop, Lisbon, Parque das Nações, April 6-8, 2009.

21. Discussant in "Meeting SPE/CIM in Statistical Extremes",
SPE/CIM, Hotel Quinta das Lágrimas, Coimbra, 15 de Fevereiro de 2008.

20. Alguns conceitos da TVE para Vectores Aleatórios e Processos Estocásticos; Possíveis Aplicações.
Seminário do Grupo de Probababilidades e Estatística,
Universidade de Aveiro, 4 de Maio 2007.

19. Topics on Multivariate and Infinite-Dimensional Extremes.
Extremes Day, Faculty of Sciences, University of Lisbon, Portugal, February 22, 2006.

18. Estimação de quantis elevados e probabilidade de conjuntos de falha em estatística de extremos.
Seminários ISA, 18 de Junho de 2003.

17. Estimação e optimização em estatística de extremos.
Seminários da SPE, 26 de Março de 2003.

16. Tail estimation in bivariate extreme value statistics.
Workshop "Dependence in extreme value theory", EURANDOM, Eindhoven, Jan 23-25, 2003.

15. Estimation and optimality in statistics of extremes.
Workshop VEXTRA: Extremes, Risk and Resampling Techniques.
Coimbra, Portugal, 21-23 November 2002.

14. Estimation and optimality under EVT.
Meeting with the Market, EURANDOM, Eindhoven, April 15, 2002.

13. How to estimate the endpoint of a distribution and other extremal events using EVT.
Workshop "Reinsurance", EURANDOM, Eindhoven, May 23-25, 2002.

12. On estimating tail probabilities and high quantiles in EVT.
Invited Seminars, TU Delft, March 6, 2002.

11. Confidence intervals for the tail index.
SemStat - Seminaire Europeen de Statistique, Extreme Value Theory and Applications.
Gothenburg, Sweden, December 10-15, 2001.

10. On bootstraping to optimize tail estimation
International Symposium on Extreme Value Analysis.
Leuven, Belgium, August 5-10, 2001.

9. Asymptotic Optimality on Tail Estimation.
Invited Seminars, Technical University Munchen, April 18, 2001.

8. Asymptotic Optimality on Tail Estimation.
Invited Seminars, Katholieke Universiteit Leuven, February 7, 2001.

7. Tail Dependence and Failure Set Estimation.
Workshop on Risk, Insurance and Extremes.
EURANDOM, 24-26 August, 2000.

6. On Asymptotic Optimality on High Quantiles and Tail Probability Estimation.
EPS Seminars, EURANDOM, June 22, 2000.

5. Adaptive estimators for the endpoint of a probability distribution.
AIO 28th Lunteren Meeting, The Netherlands, November 17-19, 1999.

4. Adaptive estimators for the endpoint of a probability distribution.
Workshop VELA: Statistical Modelling: Extreme Values and Additive Laws, 2-6 October 1999.

3. Adaptive estimators for the endpoint and high quantiles of a probability distribution.
EURANDOM Seminars Financial Stochastics, September, 20, 1999.

2. Extreme sea level in Venice.
Seminários ISA, 1998.

1. Modelação Estocástica da Altura Significativa de Onda.
Investigação e Desenvolvimento no Âmbito da Engenharia Naval. Ordem dos Engenheiros, Fevereiro de 1993.

Outras comunicações orais

10. Precipitation extremes in a changing climate.
Hejnice, Czech Republic, September 24-26, 3013.
http://klimatext.tul.cz/en/organized-activities/hejnice

9. The areal coefficient: properties and examples. (Selected Talk)
METMAVI International Workshop on Spatio-Temporal Modelling
September 12-14, 2012, Guimaraes, Portugal.
http://metma6.com/

8. The Generalized Pareto Process and its Domain of Attraction.
7th Conference on Extreme Value Analysis, Probabilistic and Statistical Models and their Applications, June 27th-July 1st, 2011, Lyon, France. (http://eva2011.univ-lyon1.fr/)

7. Extremal index and Markov Chains
Statistical modeling of extremes in data assimilation and filtering approaches.
IRMA, Strasbourg, June 23-26 2008

6. Estimation of the extremal index for stationary sequences under a specified stability condition.
56th Session of the International Statistical Institute (ISI), August 22-29, 2007, Lisboa, Portugal.

5. A simple representation of a max-stable process.
4th Conference on Extreme Value Analysis, August 15-19, 2005, Gothenburg, Sweden.

4. Estimação da probabilidade de ocorrência de um conjunto extremo.
XII Congresso Anual da SPE, 29 Set - 2 Out, 2004, Évora, Portugal.

3. On the consistency of the estimation of the probability of a failure set.
3rd International Symposium on Extreme Value Analysis: Theory and Practice, July 19-23 2004, Aveiro, Portugal.

2. XTREMES: Exemplos de Aplicação
V Congresso Anual da SPE, Curia, 11-14 Junho 1997.

1. Aplicação de um Modelo Autoregressivo de Médias Móveis a Séries Temporais da Altura Significativa de Onda.
II Congresso Anual da SPE, Luso, 20-23 Junho 1994.

Comunicações em painel ("poster")

Tail dependence in bivariate extreme value theory.<br>23rd European Meeting of Statisticians. <br>Funchal, Portugal, August 13-19, 2001. <br>

Comunicações em painel ("poster")