A0932
Title: Likelihood-based inference for the peaks-over-threshold method in time series
Authors: Simone Padoan - Bocconi University (Italy) [presenting]
Stefano Rizzelli - University of Padova (Italy)
Abstract: The focus is on the popular peaks-over-threshold method and stationary time series that satisfy the beta-mixing condition. Within the framework, it is described how accurate inference can still be achieved using likelihood-based procedures that rely on the generalized Pareto likelihood function derived from the independence case.
