Extreme value statistics in semi-supervised models

Seminar in Insurance and Economics

SPEAKERChen Zhou (Erasmus University Rotterdam).

TITLE: Extreme value statistics in semi-supervised models.

ABSTRACT: We consider extreme value analysis in a semi-supervised setting, where we observe, next to the n data on the target variable, n+m data on one or more covariates. This is called the semi-supervised model with n labeled and m unlabeled data. By exploiting the tail dependence between the target variable and the covariates, we derive an estimator for the extreme value index of the target variable in this setting and establish its asymptotic behavior. Our estimator substantially improves the univariate estimator, based on only the n target variable data, in terms of asymptotic variance whereas the asymptotic bias remains unchanged. We present a simulation study in which the asymptotic results are confirmed and also an extreme quantile estimator is derived and its improved performance is shown. Finally the estimation method is applied to rainfall data in France.

Link to Seminar in Insurance and Economics.