o Centro
Comissão de Aconselhamento
Membros
Projectos
Publicações
Conferências e Seminários
Cursos Avançados
Destaques
Grupos de Investigação
Relatórios Cientificos Anuais
Projecto Estratégico
Regulamento Interno
contactos

 
World of Statistics  
   
 
SEMINÁRIO: Maximum Likelihood and Probability Weighted Moment Estimators from Block Maxima and Peaks-over-Threshold Methods
 
  • Profa. Ana Ferreira - IST-CEMAT e CEAUL
  • FCUL - Campo Grande - Bloco C6 Piso 4 - Sala: 6.4.30 - 14:00h
  • Quarta-feira, 22 de Fevereiro de 2017
  • Referência Projeto: Projecto FCT: UID/MAT/00006/2013
 FCT

 

Abstract:

Two fundamental methods in Extreme Value Theory are the Block Maxima (BM) and the Peaks-Over-threshold (POT) and, two widely used methods of estimation in extremes when applying BM or POT are the maximum likelihood (ML) and probability weighted moment (PWM). We prove asymptotic normality of the estimators under the BM approach and maximum domain of attraction conditions. This permits to compare their asymptotic performance under BM and POT approaches.

This is a joint work with Clément Dombry - Univ. Bourgogne Franche-Comté, Laboratoire de Mathématiques de Besançon and Laurens de Haan - Erasmus University Rotterdam and CEAUL.

 


 

     
 
 inicial  |  contactos
© 2006-2017 CEAUL 
Todos os direitos reservados.