[Statlist] RESEARCH SEMINAR IN STATISTICS - UNIVERSITY OF GENEVA

[Eva Cantoni]

RESEARCH SEMINAR IN STATISTICS - UNIVERSITY OF GENEVA

Organisers : .
E. Cantoni - E. Ronchetti - S. Sperlich - M-P. Victoria-Feser

Friday March 7th, 2014
at 11h15
Room M 5220, Uni Mail (40, bd du Pont-d'Arve)

Armelle GUILLOU
Université de Strasbourg

" Asymptotically unbiased and robust estimation of tail indices"

Abstract:
Extreme value theory in the univariate framework has been exten- sively 
studied in the literature, particularly in the Fréchet 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 Dierckx 
and Yuri Goegebeur and the second one with Christophe Dutang and Yuri 
Goegebeur.

http://www.stat-center.unige.ch/ResSem.html


-- 
Prof. Eva Cantoni
Research Center for Statistics and
      Geneva School of Economics and Management
University of Geneva, Bd du Pont d'Arve 40, CH-1211 Genève 4
http://www.unige.ch/ses/dsec/staff/faculty/Cantoni-Eva.html