SEMINÁRIO: A High Order Moments Method for Endpoint and Frontier Estimation


  • Prof. Gilles Stupfler – Aix-Marseille Université – Groupement de Recherche en Économie
  • Universidade de Aveiro – Departamento Matemática – Sala Sousa Pinto – 15:00h
  • Quarta-feira, 14 de Janeiro de 2015
  • Referência Projeto: Projecto: EXPL/MAT-STA/0622/2013
 Abstract: Let X be a real-valued random variable with finite right endpoint. This talk focuses on the estimation of the right endpoint when it is unknown, using a combination of empirical versions of high-order moments of X, in the sense that the order of the moment depends on the sample size n and tends to infinity. We start by showing how such moments can be asymptotically related to the right endpoint of X and we take advantage of this to construct several estimators of the right endpoint. We also extend our results to the case when X is recorded along with a finite-dimensional covariate; the problem then becomes to estimate the frontier function of the support of X, namely its conditional right endpoint.

(seminar co-organized by the FCT-project Development of Extremes in Time and Space, EXPL/MAT-STA/0622/2013)