SMS scnews item created by Rafal Kulik at Wed 7 Mar 2007 1213
Type: Seminar
Distribution: World
Expiry: 12 Mar 2007
Calendar1: 12 Mar 2007 1100-1200
CalLoc1: Macquarie E4A523
Auth: rkuli(.ststaff;2434.3001)

Macquarie Seminar on Stochastic Finance : Prof. Reiss -- Using Covariate Information in Extreme Value Models

At the beginning we recall basic facts about the well-known linear
problem in a fixed and a random design. It is indicated that the
design problem conditioned on the independent variate (the covariate)
be regarded as a fixed design problem. Afterwards the considerations
merely based on the conditional statistical model. In contrary to the
models we deal with parametric models such as the EV model. Based
on a conditional maximum likelihood estimator one obtains estimators
predictions of conditional functional parameters. The required
for gP distributions are deduced within a Poisson process framework.
Applications in environmental statistics and statistical finance are

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