Research Seminar in Probability and Statistics II - #11

19 Maio 2016, 10:58 Manuel Cabral Morais

The Block Maxima and POT methods and, an extension of POT to integrated stochastic processes

Ana Ferreira (DM-IST; CEAUL & CEMAT)

May 25 (Wed.), 16:00 - Room 4.35 (Math. Building, IST, Av. Rovisco Pais, 1049-001 Lisboa)

We shall review the classical maximum domain of attraction condition underlying BM and POT, two fundamental methods in Extreme Value Theory. A theoretical comparison between the methods will be presented.

Afterwards, the maximum domain of attraction condition to spatial context will be discussed. Then a POT-type result for the integral of a stochastic process verifying the maximum domain of attraction condition will be obtained.

http://math.tecnico.ulisboa.pt/seminars/pe/