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UID:6538@i2m.univ-amu.fr
DTSTART;TZID=Europe/Paris:20210215T140000
DTEND;TZID=Europe/Paris:20210215T170000
DTSTAMP:20241120T201734Z
URL:https://www.i2m.univ-amu.fr/evenements/benjamin-bobbia/
SUMMARY: (...): Benjamin Bobbia (université de Franche-Comté): Introducti
 on to extreme quantile estimation and coupling methods for quantile regres
 sion
DESCRIPTION:: \nSéminaire double : Introduction to extreme quantile estima
 tion and coupling methods for quantile regression\nThe extreme value theor
 y is concerned by the behavior of tail distributions.\nIn this talk we see
 n first why we need a such theory and how we can use result about extremes
  to estimate extreme quantile.\nThat is quantile at un unobserved level.\n
 \nSecondly\, we will focus on the case of the estimation of conditional ex
 treme quantiles. Namely the estimation of the quantile of a real velued ra
 ndom variable Y given a random variable in R^d.\nIn this purpose\, we intr
 oduce the proportional tail model which assume that Y has an heavy tail wi
 th extreme value index \nand  that the conditional tail of Y given X=x is 
 asymptotically proporional to the unconditional tail. \n\nWe propose estim
 ations of model parameters and of extreme quantiles as well as a validatio
 n procedure for this model. All these resultats are based on coupling appr
 oaches that we detail here.\nTheses methods are based on the Wasserstien d
 istances.\n\n\n
CATEGORIES:Séminaire,Statistique
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DTSTART:20201025T020000
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