ICRA7 - 7th International Conference on Risk Analysis

Conferência internacional em honra de Maria Ivette Gomes (CEAUL, FCUL).

ICRA7, in honour of Professor M. Ivete Gomes, will bring together researchers and practitioners who work on Risk Analysis in Cancer Research, Medicine, Health Sciences, Economics, Management, Industry, and Biostatistics. The Conference is a forum for presenting new theoretical and computational models and methods in these and other related topics.

Maximum Likelihood and Probability Weighted Moment Estimators from Block Maxima and Peaks-over-Threshold Methods

Ana Ferreira

Two fundamental methods in Extreme Value Theory are the Block Maxima (BM) and the Peaks-Over-threshold (POT) and, two widely used methods of estimation in extremes when applying BM or POT are the maximum likelihood (ML) and probability weighted moment (PWM). We prove asymptotic normality of the estimators under the BM approach and maximum domain of attraction conditions. This permits to compare their asymptotic performance under BM and POT approaches.