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Extremes of Regression Quantiles |
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18.4.2012
Seminár z matematickej štatistiky
Pozývame Vás na spoločný seminár Oddelenia teoretických metód ÚM SAV a Katedry aplikovanej matematiky a štatistiky Fakulty matematiky, fyziky a informatiky UK v Bratislave, na ktorom Doc. RNDr. Jan Picek, CSc. (Katedra aplikované matematiky, Technická univerzita v Liberci) prednesie svoju prednášku Extremes of Regression Quantiles. Seminár sa uskutoční v pondelok, 23. apríla 2012, o 9:50 v učebni XII FMFI UK v Bratislave.
Abstract
The contribution deals with estimators of extreme value index based on regression quantiles in the linear regression model. The regression quantiles can be seen as a possible generalization of the quantile idea. We show the approximation of the tail quantile function of errors. Following Drees (1998) we consider a class of smooth functionals of the tail quantile function as a tool for the construction of estimators in the linear regression context. Pickands, maximum likelihood and probability weighted moments estimators are illustrated on simulated and climatological data.
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