Extreme TiDE - VVSOR - VVSOR

Vereniging voor Statistiek en Operations Research
06 June 2018

Extreme TiDE

The upcoming Extreme TiDE event will be on Wednesday June 06, 2018 at Tilburg University. The program of the event is as follows.

 

15:00-15:45 Xuan Leng (Erasmus University Rotterdam)

Bias correction for the maximum likelihood estimator of the extreme value index

 

Abstract: This paper conducts bias correction for the maximum likelihood estimator (MLE) of the extreme value index. Compared to the original MLE, the bias-corrected estimator allows for using a larger fraction of observations in tail region for estimation, which results in a lower asymptotic variance. The bias correction is achieved by subtracting the asymptotic bias from the original MLE, which is estimated by a two-step approach. We prove the asymptotic behavior of the proposed bias-corrected estimator. Extensive simulations show the superiority of the bias-corrected estimator compared to existing estimators of the extreme value index. We apply the bias-corrected MLE to test whether human life span is unlimited.

 

15:45-16:00 Coffee break

 

16:00-17:00  Philippe Naveau (Laboratoire des Sciences du Climat et l’Environnement (LSCE) CNRS-France)

Analysis of extreme climate events by combining multivariate extreme values theory and causality theory

 

Abstract: Multiple changes in Earth’s climate system have been observed over the past decades. Determining how likely each of these changes are to have been caused by human influence, is important for decision making on mitigation and adaptation policy. This is particularly true for extreme events, e.g. the 2003 European heatwave. To quantity these issues, we combine causal counterfactual theory (Pearl 2000) with multivariate extreme value theory. In particular, we take advantage of recent advances in the modeling of the multivariate generalized Pareto distributions to propose a conceptual framework to deal with climate-related events attribution. (Joint work with Anna Kiriliouk and Alexis Hannart and Julien Worms).

 

17:00-17:30 Drinks

 

The seminars will take place in room T 50A, TIAS Building, Tilburg University. Full address: Warandelaan 2, 5037 AB Tilburg.

 

The next seminar is scheduled on October 8, 2018 at Delft University. Please check our website.