An example of a seminar report based on one seminar only (so, only 500 words)

Title of seminar: A nonparametric estimator of the extremal index

Your name: Andrew Pua
Date of seminar: October 23, 2019
Date of report: November 7, 2019

Extreme events rarely happen, yet these extreme events can lead to large losses or damages,
especially in the context of large jumps in temperatures. Because we do not observe these
extreme events frequently, estimating the probability of these extreme events by their relative
frequency is not informative. For example, if one wants to estimate the probability that the
temperature would exceed 35 degrees Celsius and the data do not have temperatures about 35
degrees, then your estimate for the probability would be zero.

The presenter claims that we can do better using ideas from extreme value theory. She then
introduced some of the basic ideas from extreme value theory and introduced an application
documenting extreme temperatures in the Netherlands as motivation. Extreme value theory also
requires different central limit theorems compared to central limit theorems for sums of
independent and identically distributed random variables. The basic central limit theorem in
extreme value theory shows that the maximum of a sequence of iid random variables, suitably
standardized, would converge to a limiting distribution that has a parametric form and is
governed by only one parameter. This sole parameter is called the extremal index.

There is some effort in the literature to estimate this index. This index is a number between 0
and 1 and is inversely related to the expected clustering size of the extremes formed from
considering observations that cross a threshold. The cited literature during the presentation
seem to focus on the iid case. Given that the empirical application involves temperatures over
time, she also relaxes the independence assumption. Because she needs to determine how long
extreme events will last, rather than just estimating the probability of their occurrence, in the
empirical application, she would need new conditions that produce a similar asymptotic theory
for the time series case. These new conditions are based on the tendency of extremes to cluster
together. She then provides a theoretical justification for the methods that rely on looking at
probabilities of random variables exceeding thresholds.

She then introduces her nonparametric estimator for the extremal index under the previosuly
described conditions. Unfortunately this estimator depends on a nuisance parameter, called d,
which governs the conditions she specifies. She analyzes the case where d is known and the
case where d has to be estimated from the data. Her theoretical analysis suggests that an
estimator for d may not be unique and she suggests ways to compensate for this and still be
able to estimate the extremal index quite well.

Some simulation evidence was provided to justify the theoretical methods. She considered time
series processes that may or may not satisfy the conditions in the theory. She finds that the
performance of her suggested estimator is better in root mean squared error terms than the
existing estimators. What remains unexplained is the relatively good performance of her
estimator for time series processes that did not satisfy the conditions of her theory. She returns
to her main application and shows that using her methods, Greece has an expected heatwave
duration of 7 to 8 days, while the Netherlands has a roughly 1 to 1.5 days expected heatwave
duration.

(523 words)

I did not refer to any other sources and used only the presentation as the basis for this report.