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主讲人 |
Juanjuan Cai |
简介 |
<p><span style="font-family: Arial;"><span lang="EN-US" style="font-size: 10.5pt;">Clustering of extremes has a large societal impact. The extremal index, a number in the unit interval, is a key parameter in modelling the clustering of extremes. We build a connection between the extremal index and the stable tail dependence function, which enables us to compute the value of extremal indices for some time series models. We also construct a nonparametric estimator of the extremal index and an estimation procedure to verify D<sup>(d)</sup>(u<sub>n</sub>) condition, a local dependence condition often assumed when studying extremal index. We prove that the estimators are asymptotically normal. The simulation study compares our estimator to two existing methods, which shows that our method has good finite sample properties. We apply our method to estimate the expected durations of heatwaves in the Netherlands and in Greece.</span></span></p> |
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主讲人简介 |
<p class="MsoNormal"><span style="font-family: Arial;"><span lang="EN-US">Dr. J.-J. Cai</span></span><span lang="EN-US"><o:p></o:p></span></p>
<p class="MsoNormal"><span style="font-family: Arial;"><span lang="EN-US">Assistant Professor in Statistics</span></span><span lang="EN-US"><o:p></o:p></span></p>
<p class="MsoNormal"><span style="font-family: Arial;"><span lang="EN-US">Delft Institute of Applied Mathematics</span></span><span lang="EN-US"><o:p></o:p></span></p>
<p class="MsoNormal"><span style="font-family: Arial;"><span lang="EN-US">Delft University of Technology</span></span><span lang="EN-US"><o:p></o:p></span></p>
<p class="MsoNormal"><span style="font-family: Arial;"><span lang="EN-US"><o:p> </o:p></span></span><span lang="EN-US"><o:p></o:p></span></p>
<p class="MsoNormal"><span style="font-family: Arial;"><span lang="EN-US">Research interests:</span></span><span lang="EN-US"><o:p></o:p></span></p>
<p class="MsoNormal"><span style="font-family: Arial;"><span lang="EN-US">Statistics of Extremes</span></span><span lang="EN-US"><o:p></o:p></span></p>
<p class="MsoNormal"><span style="font-family: Arial;"><span lang="EN-US">Asymptotic Statistics</span></span><span lang="EN-US"><o:p></o:p></span></p>
<p class="MsoNormal"><span style="font-family: Arial;"><span lang="EN-US">Non-Parametric Statistics</span></span><span lang="EN-US"><o:p></o:p></span></p>
<p class="MsoNormal"><span style="font-family: Arial;"><span lang="EN-US">Probabilistic forecast of extreme events</span></span><span lang="EN-US"><o:p></o:p></span></p> |
期数 |
高级计量经济学与统计学系列讲座2019秋季学期第二讲（总第120讲） |
