B0701
Title: Hill estimator and extreme quantile estimator for functionals of approximated stochastic processes
Authors: Jaakko Pere - Aalto University School of Science (Finland) [presenting]
Benny Avelin - Uppsala University Department of Mathematics (Sweden)
Valentin Garino - Uppsala University Department of Mathematics (Sweden)
Pauliina Ilmonen - Aalto University School of Science (Finland)
Lauri Viitasaari - Uppsala University Department of Mathematics (Sweden)
Abstract: The effect of approximation errors in assessing the extreme behaviour of univariate functionals of random objects is studied. The framework is built into a general setting where the estimation of the extreme value index and extreme quantiles of the function is based on some approximated value instead of the true one. For example, the effect of discretisation errors in the computation of the norms of paths of stochastic processes is considered.
