University of Reading - Statistics Seminar


Professor Laurens de Haan (Erasmus University Rotterdam)

Title: A bootstrap result in extreme value theory

Abstract:  fundamental tool in extreme value statistics is the expansion of the tail empirical process (H. Drees 1998). Virtually all estimators in one-dimensional extreme value theory are functionals of this process and their asymptotic behavior can be deduced from that of the tail empirical process. We have obtained a bootstrap analogue of this expansion that is helpful for bootstrapping  the variance of extreme value estimators, for example the probability weighted moment estimator whose variance does not have a closed expression. We have results for both the block maxima and the peaks-over-threshold approach to extremes. Applications are presented.


November 10, 2017 @ 12:00 - 13:00
Room 113 Maths building, University of Reading


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