Category Archives: Seminar

Extreme Value, Seminar

Statistical seminar at Belo Horizonte

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Talk at the statistical seminar at the university of Belo Horizonte, Wednesday, on “multivariate extremes“. Slides can be downloaded here.

The talk will give a detailed introduction on multivariate extremes and related concepts. Then the case of Archimedean copula will be fully described (following the paper with Johan Segers).

Many thanks to Renato Martins Assunção (here) for inviting me for a couple of days in Belo Horizonte ! Thanks also for your interest in my blog… and since I understood that some people who do not speak French might be interested in my blog, I started to write my blog in English (or at least a langage that should not be too far away from English). There is a nice discussion about langage on this blog (here, unfortunately in French…)

Research, Seminar, Statistics

Exposé à Toulouse sur l’estimation (nonparamétrique) de quantiles

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Exposé à Toulouse 1, sur l’estimation nonparamétrique de quantiles.

In this talk we propose several nonparametric estimators of quantiles based on Beta kernel and applied to transformed data by the generalized Champernowne distribution initially fitted to the data. A Monte-Carlo based study will show that those estimators improve the efficiency, not only for light tailed distributions, but mainly for heavy tailed, when the probability level is close to 1. Another application will be seen, on portfolio optimization in the mean-VaR context.