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

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.