Anna Ben-Hamou EVA Talk Preview
From Anna Munro on May 24th, 2021
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Name: Anna Ben-Hamou
Talk Title: Non-asymptotic bounds for Probability weighted moment estimators
Abstract: In hydrology and other applied fields, Probability weighted moments (PWM) have been frequently used to estimate the parameters of classical extreme value distributions (see de Haan and Ferreira, 2006)). This method-of-moment technique can be applied when second moments are finite, a reasonable assumption in hydrology. Two advantages of PWM estimators are their ease of implementation and their close connection to the well-studied class of U-statistics. Consequently, precise asymptotic properties can be deduced. In practice, sample sizes are always finite and, depending on the application at hand, the sample length can be small, e.g. a sample of only 30 years of maxima of daily precipitation is quiet common in some regions of the globe. In such a context, asymptotic theory is on a shaky ground and it is desirable to get non-asymptotic bounds.
This is a joint work with Philippe Naveau and Maud Thomas.
This talk is a contributed talk at EVA 2021. View the programme here.