06 June 2018 (at Tilburg University)

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

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

            AbstractThis 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 (CNRS-France)

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

           AbstractMultiple 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).

          The seminar will take place at room T 50 A/B, TIAS Building, Tilburg University.              Full address: Warandelaan 2, 5037 AB Tilburg.

      08 October 2018 (at TU Delft)

           Speaker: Clément Dombry (University of Franche-Comté)