Seminar 2 - Probability and Statistics (DM-IST & CEMAT)
31 Outubro 2019, 13:24 • Ana Maria Santos Ferreira Gorjão Henriques
Title: A LASSO-type model for the bulk and tail of a heavy-tailed
response
Speaker: Soraia Pereira (CEAUL and
Faculdade de Ciências, Universidade de Lisboa)
Date: 15 October (3a.)
Hour: 14:00
Local: Room P3.10 (Pav. de Matemática, IST, Av. Rovisco Pais, 1049-001 Lisboa)
Abstract:As widely known, in an extreme value framework, interest focuses on
modelling the
most extreme observations - disregarding the central part of the
distribution; commonly,
the effort centers on modelling the tail of the distribution by the
generalized Pareto distribution, in a Peaks over threshold framework.
Yet, in most practical situations it would
be desirable to model both the bulk of the data along with the extreme
values.
In this talk, I will introduce a novel regression model for the bulk and
the tail of a
heavy-tailed response. Our regression model builds over the extended
generalized Pareto
distribution, as recently proposed by Naveau et al (2016). The proposed
model allows us to learn the effect
of covariates on a heavy-tailed response via a LASSO-type specification
conducted via a
Lagrangian restriction. The performance of the proposed approach will be
assessed through
a simulation study, and the method will be applied to a real data set.