[Forum SIS] Seminar of Prof. C. Gaetan

[Claudio Agostinelli]

Apologies for cross-posting

***********************************
DIPARTIMENTO DI SCIENZE AMBIENTALI, INFORMATICA E STATISTICA
Universita' Ca' Foscari
VENEZIA
***********************************

Seminar

Prof. Carlo Gaetan
Dipartimento di Scienze Ambientali, Informatica e Statistica
Ca' Foscari University

*A MODEL FOR TEMPORAL EXTREMES BASED ON LATENT PROCESSES*

December 14th, 2011 at 10.30am
Aula Consiglio - Ala 2C, S. Giobbe, Venezia

Anyone interested is invited to participate

Abstract:
One approach of modelling extreme data is to consider the distribution
of exceedances over a high threshold. Under suitable conditions, this
distribution can be approximated by a generalized Pareto distribution
(GPD). In recent research on extreme value statistics, there has been an
extensive development of threshold methods for time series models. For
instance extreme values of univariate time series are modelled by
assuming that the time series is Markovian and using bivariate extreme
value theory to suggest appropriate models for the transition distributions.
Another possible approach for dealing with the dipendence is a
hierarchical approach imposing a prior distribution on the parameters.
A drawback of the Bayesian approach is that the resulting marginal
distributions are not GPD.
In this talk we present a  new model for the extremal behaviour of a
univariate time series  based on a latent process, that overcomes this
drawback. The extremal properties of the model are illustrated, showing
that different choices of the underlying latent process can produce
different degrees of asymptotic dependence, from independent extremes to
clustering of exceedances. Two analysis of environmental and financial
time series are also presented.

(a joint work with Paola Bortot, Università di Bologna)