Corso Monografico su "Extreme Value Theory and Some Applications"

[Franco Peracchi <franco.peracchi@uniroma2.it>]

                   Professor Jana Jureckova 
                   Universita` Carlo, Praga

			Corso Monografico su 
	    "Extreme Value Theory and Some Applications"

			
			   17-20 Aprile 2001

                          Programma

1. Tail behavior of some estimators of location: the sample mean and median,
   M- and L-estimators. The tail behavior of the sample extremes. 
2. Relation between the tail behavior and the breakdown point of an estimator
   of location.
3. Tail behavior of estimators of the linear regression model. Especially,
tail
   behavior of the least squares estimator and its relation to the hat
 (projection) matrix: the sample size either fixed or increasing, the 
   regression matrix either fixed or random.
4. Limit theorems for standardized maxima of the random sample
(X_1,...,X_n).       Basic limit laws, Fisher-Tippett theorem.
5. Maximum domain of attraction of the Frechet, Gumbel and Weibull
distributions.
6. Pareto-type distributions. Distribution of the Pareto index: Pickands',
   Hill's and moment estimators, a new estimator based on the tail behavior
   of the sample mean.
7. Extreme regression quantiles in the linear regression model and their
   applications.
8. Tests on the value of the Pareto index based on the extreme regression
   quantiles and some other tests.


				Orario

Mar. 17 aprile	10-12
Mer. 18 aprile	10-12
Gio. 19 aprile	14-16
Ven. 20 aprile	10-12


Tutte le lezioni si svolgeranno nell'Aula Lezioni del Dottorato 
di Ricerca in "Teoria Economica e Istituzioni", Edificio B, III piano.

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Franco Peracchi                    tel: +39 06 7259 5934
Faculty of Economics               tel: +39 06 7259 5932 (Secret.)
Tor Vergata University             fax: +39 06 2040 219
I-00133 Rome, Italy                e-mail: franco.peracchi@uniroma2.it
Web page: http://www.economia.uniroma2.it/sefemeq/professori/peracchi
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