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Principle Seminar of the Department of Probability Theory, Moscow State University
September 25, 2013 16:45, Moscow, MSU, auditorium 16-10

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Statistical analysis and testing of hypotheses about distribution of time series extrema

I. V. Rodionov

M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: Criteria of discrimination between close hypotheses about distributions belonging to the Gumbel maximum domain of attraction by the first order statistics are found. For samples with the nonrandom trend asymptotic properties of the Hill estimator are investigated and the Poisson limit theorem for the point process of high extrema is proved.


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