[Forum SIS] Seminar

[Simone Padoan]

Dear all,
we are glad to announce the following talk


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Thursday, April 10th, 2014,
DEC - Statistics Seminar - Università Bocconi,
Room 3-E4-SR03, Via Rontgen 1 - 3rd floor
Time: 12:30pm

(The complete DEC seminars schedule is available at            
                  http://www.unibocconi.eu/statseminar)
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Speaker

Laurens de Haan
(Erasmus University Rotterdam)


Title

On the block maxima method in extreme value theory


Abstract

In extreme value theory there are two fundamental approaches, both are
widely used: the block maxima method and the peaks-over-threshold method.
Whereas much research has gone into the POT method, the block maxima method has not been studied thoroughly. The present paper aims at providing conditions under which the block maxima method can be justified. In this talk we restrict attention to the i.i.d. case and focus on the probability
weighted moment (PWM) estimators of Hosking, Wallis and Wood (1985).

Joint work with Ana Ferreira (University College London)



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Dr. Simone Padoan, PhD.
Assistant Professor

Department of Decision Sciences
Bocconi University of Milan
via Roentgen, 1 20136 Milano - Italy
tel. +39 02 5836 5368
Email: simone.padoan a unibocconi.it
Webpage: http://faculty.unibocconi.it/simonepadoan
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