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Extreme TiDE

Where:  Mekelweg 4, 2628 CD Delft
When:  11th of December 2017

Three universities in The Netherlands, Tilburg University, TU Delft and Erasmus University Rotterdam, jointly organize the seminar series “Extreme TiDE”. This quarterly seminar series aims at inviting researchers in the field of Extreme Value Analysis from abroad. Each event is hosted by one of the three universities. Each invited seminar will be accompanied by another shorter seminar given by a domestic speaker.

 

The first Extreme TiDE event will be on Dec 11, 2017 at TU Delft. The program of the event is as follows.

 

15:05-15:50 Chen Zhou (Erasmus University Rotterdam)
Title: Trends in extreme value indices

Abstract: We consider extreme value analysis for independent but non-identically distributed observations. In particular, the observations do not share the same extreme value index. This situation is related to, but differs from, heteroscedastic extremes in Einmahl et al. (2016). Compared to the heteroscedastic extremes, our model allows for a broader class in which tails of the probability distributions of different observations are of different order. In other words, we are dealing with distributions that differ much more than the heteroscedastic extremes. Assuming continuously changing extreme value indices, 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 property. The global asymptotic property can be used for testing a pre-specified parametric trend in the extreme value indices. In particular, it can be applied to test whether the extreme value index remains at a constant level across all observations.

 

15:50-16:00 Coffee break

 

16:00-17:00 Jan Beirlant (KU Leuven)
Title: Bias reduced estimation of the extreme value index
 

Abstract: A lot of attention has been paid to bias reduced estimation of the extreme value index in case of heavy-tailed distributions. In this talk we present some proposals for all max-domains of attraction. A first method is based on ridge regression for generalized quantiles. Secondly we discuss the use of Bernstein polynomials for estimating the bias in the Peaks over Threshold method.

 

17:00-17:30 Drinks and snacks

 

The seminar room will be the Snijderzaal (LB01.010), at the first floor of EWI Faculty (Building 36). Full address: Mekelweg 4, 2628 CD Delft.

 

We have also scheduled two seminars on March 22, 2018 at Erasmus University Rotterdam and on June 06, 2018 at Tilburg University. Please check our website: https://sites.google.com/site/extremetideseminar/

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