Statistics and Risk Management and MMA AEIO and MMA Financial Mathematics Seminar - 9/6/2015

Tuesday, 9 June 2015, 11:30 a.m.

Lecturer: Professor Frederico Caeiro, Centro de Matemática e Aplicações (CMA), FCT, UNL e Departamento de Matemática, FCT, UNL.

Title: "On the bootstrap methodology for the threshold estimation"

Local: Sala de Seminários, Edifício VII

Faculdade de Ciências e Tecnologia, Quinta da Torre, Caparica

Abstract: The main objective of statistics of extremes is the prediction of rare events, and its primary problem has been the estimation of the extreme value index. Whenever we are interested in large values, such estimation is usually performed on the basis of the largest k+1 order statistics or on the excesses over a high level u. The question that has been often addressed in practical applications of extreme value theory is the choice of either k or u, and an adaptive EVI-estimation. We shall discuss the use of the bootstrap methodology in the adaptive estimation of the EVI and present an ”improved” version of Hall’s bootstrap methodology.