SMS scnews item created by Hannah Bryant at Wed 2 Nov 2022 1551
Type: Seminar
Modified: Wed 2 Nov 2022 1551; Wed 2 Nov 2022 1552; Wed 2 Nov 2022 1553; Wed 2 Nov 2022 1555
Distribution: World
Expiry: 10 Nov 2022
Calendar1: 10 Nov 2022 1300-1400
CalLoc1: Quad S223 & Online
CalTitle1: SMRI Seminar: Kulik ’Disjoint and sliding blocks estimators for heavy tailed time series’
Auth: hannahb@10.48.25.205 (hbry8683) in SMS-SAML

SMRI Seminar: Kulik -- Disjoint and sliding blocks estimators for heavy tailed time series

SMRI Seminar: ’Disjoint and sliding blocks estimators for heavy tailed time series’
Rafal Kulik (University of Ottawa) 

Thursday 10th November, 1:00pm-2:00pm (followed by afternoon tea on the SMRI terrace)
Quad S223 & Online 

Register for online attendance: https://uni-sydney.zoom.us/j/85884880854 

Abstract: Extreme value theory deals with large values and rare events.  These large
values tend to cluster in case of temporal dependence.  This clustering behaviour is
widely observed in practice.  

I will start with a mild introduction to extreme value theory, discussing probabilistic
and statistical issues.  This part will be accessible to a broader audience.  

Then, I will talk about a more specific problem of statistical theory for cluster
functionals and rare events.  Two types of estimators are of a primary importance:
disjoint and sliding blocks estimators.  It has been conjectured that sliding blocks
estimators are "better" (to be made precise in the talk).  We proved in a recent
series of papers that this is not the case and in fact both disjoint and sliding blocks
estimators are asymptotically equivalent.  This part will be aimed at probabilistic and
statisticians.  

I will conclude with recent directions in extreme value theory, such as extremes in high
dimension, extremes of graphs and networks.  

Note This seminar will be recorded, including participant questions (participants only
when asking questions), and uploaded to the SMRI YouTube Channel
https://www.youtube.com/c/SydneyMathematicalResearchInstituteSMRI 

Please email smri.admin@sydney.edu.au if you register but do not receive a confirmation
email ~24 hours prior to the seminar.  

Other upcoming SMRI events can be found here:
https://mathematical-research-institute.sydney.edu.au/news-events/