统计学系系列讲座之352期

 

时 间:2019年8月6日(星期二)10:00-11:00

地 点:史带楼204室

主持人:黎德元 教授 复旦大学管理学院统计学系

主 题:A horse racing between the block maxima method and the peak-over-threshold approach

主讲人:Prof. Chen Zhou

    Department of Econometrics

    Erasmus School of Economics

    Erasmus University Rotterdam (荷兰)

 

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.

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.

                   

 统计学系 

2019-7-26