This talk has been automatically
captioned. You can remove these by pressing CC on the video toolbar.
Name: Christian Robert
Talk Title: Hill random forests
Abstract: In extreme value statistics, the tail index is used to measure the occurrence and the intensity of extreme events. In many applied fields, the tail behavior of such events depends on explanatory variables. This article proposes an ensemble learning method for tail index regression which is called Hill random forests and combines Hill's approach on tail index estimation (Hill (1975)) with the aggregation of randomized decision trees based on the gamma deviance. We prove a consistency result when the tail index function is a multiplicative function.
This
talk is a contributed talk at EVA 2021.