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

Relatore: Simone Padoan (Università Bocconi)

  • Data: 07 marzo 2024 dalle 16:00 alle 17:00

  • Luogo: Aula 5, Piazza Scaravilli 2

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.

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