报告题目: A horse racing between the block maxima method and the peak-over-threshold approach
报告时间：2019年8月2日（星期五） 14:00-15:00
报告地点：培训楼N314
报告人：周 晨教授
主持人：董英华博士
报告摘要:
Classical extreme value statistics consists of two fundamental approaches: the block maxima (BM) method and the peak-over-threshold (POT) approach. It seems to be general consensus among researchers in the field that the POT method makes use of extreme observations more efficiently than the BM method. We shed light on this discussion from three different perspectives. First, based on recent theoretical results for the BM approach, we provide a theoretical comparison in i.i.d. scenarios. We argue that the data generating process may favour either one or the other approach. Second, if the underlying data possesses serial dependence, we argue that the choice of a method should be primarily guided by the ultimate statistical interest: for instance, POT is preferable for quantile estimation, while BM is preferable for return level estimation. Finally, we discuss the two approaches for multivariate observations and identify various open ends for future research.
报告人简介：
Chen Zhou is Professor of Mathematical Statistics and Risk Management in the Department of Econometrics at Erasmus University. His research interest focuses on extreme value analysis and its applications in economics and finance. Chen Zhou is also a senior economist in The Netherlands Bank (DNB). He also serves as an Associate Editor for the journal Extremes.
数学与统计学院
2019.7.29