Seminars: V. I. Piterbarg, On some new problems in extreme value statistics

SEMINARS


Principle Seminar of the Department of Probability Theory, Moscow State University February 15, 2012 16:45, Moscow, MSU, auditorium 16-24

On some new problems in extreme value statistics V. I. Piterbarg M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Abstract: I shall tell on works of my students in statistics of extremes as well as on new problems, which are attempts to bring methods and ideas from general mathematical statistics into statistics of extremes. Among them are: – trend estimation for time series using extreme values of order statistics; – close hypotheses discrimination on light upper tail distributions; – robustness of traditional extreme index estimators; – rank methods in statistics of extremes, efficiency.