Dear All,
Just a gentle reminder that this is happening:
Seminar by Prof. Laurens de Haan (Erasmus University Rotterdam, The Netherlands and University of Lisbon, Portugal)
Time and Venue: 14:00-15:00 on 29th Jan in ICMA G09, University of Reading.
Title: Trends in the extreme value index
Abstract: The first part of the talk will be an introduction to extreme value theory. I shall discuss the theoretical background, the tools for application and several specific applications. A discussion of recent research follows. We consider extreme value theory for independent but not identically distributed observations. In particular, the observations do not necessarily share the same extreme value index. Assuming a continuously changing index we provide a non-parametric estimate for the functional extreme value index. Besides estimating the extreme value index locally, we also provide a global estimator for the trend and its joint asymptotic distribution. The asymptotic theory for the global estimator can be used for testing a pre-defined parametric trend in the index. In particular it can be applied to test whether the index remains constant across all observations. (Joint work with Chen Zhou).
Kind regards,
Claudia
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Dr Claudia Neves
Department of Mathematics and Statistics
University of Reading
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