蔡娟娟 | A nonparametric estimator of the extremal index

时间:2019-10-17浏览:10设置

时间:2019年10月30日(周三) 16:00-17:00

地点:中北校区理科大楼A1716报告厅

题目:A nonparametric estimator of the extremal index

主讲人:蔡娟娟 荷兰代尔夫特大学,副教授

主持人:唐炎林研究员

摘要:

Clustering of extremes usually has a large societal impact. The extremal index, a number in the unit interval, is a key parameter in modelling the clustering of extremes. We build a connection between the extremal index and the stable tail dependence function, which enables us to compute the value of extremal indices for some time series models. We also construct a nonparametric estimator of the extremal index and an estimation procedure to verify D(d)(un) condition, a local dependence condition often assumed when studying extremal index. We prove that the estimators are asymptotically normal. The simulation study compares our estimator to two existing methods, which shows that our method has good finite sample properties. We also apply our method to estimate the expected durations of heatwaves in the Netherlands and in Greece.
报告人简介:

蔡娟娟博士,现为荷兰代尔夫特大学副教授,主要从事极值理论研究,在AOS、JRSSB、Biometrika等统计学顶级期刊发表多篇高水平学术论文。


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