[Forum SIS] Seminar

[Simone Padoan]

Dear All,
We are glad to announce the following talk

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DEC - Statistics Seminar - Università Bocconi,

Thursday, May 8th, 2014, 

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 

Armelle Guillou (University of Strasbourg)

Title

"Asymptotically unbiased and robust estimation of tail indices"

Abstract

Extreme value theory in the univariate framework has been extensively
studied in the literature, particularly in the Fréchet domain of
attraction. In this talk, we focus on this framework and we propose an
asymptotically unbiased and robust estimator of the tail index. The
asymptotic properties of our estimator have been established and its
finite sample behaviour illustrated on a small simulation study. An
extension to the bivariate framework is also proposed. This talk is
based on two papers, the first one in collaboration with Goedele Dier-
ckx and Yuri Goegebeur and the second one with Christophe Dutang
and Yuri Goegebeur.




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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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