Seminar Some advances on likelihood-based inference arising from the Peaks Over Threshold method

Name: Some advances on likelihood-based inference arising from the Peaks Over Threshold method
Start: 2024-03-07T16:00:00
End: 2024-03-07T17:00:00

7 March 2024

Relatore: Simone Padoan (Università Bocconi).

04:00 PM - 05:00 PM
In person : Aula 5, Piazza Scaravilli 2
In Italian

Program

Abstract
The Peaks Over Threshold (POT) method is the most popular statistical and "longevous" method for the analysis of univariate extremes. Despite this, some basic results relative to the corresponding likelihood-function are still unknown today. After discussing them briefly, we explain what their implications are for the inference and prediction of extreme events stemming from the ordinary to a conditional POT method.

Collegamento Microsoft Teams

Organizzazione
Luca Trapin