【主讲】Prof. ILIN ALEXANDER, Prof. KOROLEV VICTOR, Prof. SHEVTSOVA IRINA (School of Statistics, Moscow University)
【主题】Modeling temporal characteristics of catastrophes in non-stationary flows of extremal events by limit theorems of probability theory
【时间】2016年10月18日 (周二) 10：15-11：15
【地点】上海财经大学经济学院楼701室
【语言】英文
【摘要】The problem of prediction of the probabilities of catastrophes in nonhomogeneous flows of extremal events is considered. The flow of extremal events is considered as a marked point stochastic process with not necessarily identically distributed intervals between points (events). The proposed method is a development of the so-called POT-method (Peaks Over Theshold) and is based on limit theorems for geometric sums of independent not necessarily identically distributed random variables and the Balkema – Pickands – De Haan theory. Within the framework of the construction under consideration, the Weibull–Gnedenko distribution appears as a limit law for geometric sums of independent not necessarily identically distributed random variables. The efficiency of the proposed methods is illustrated by the examples of their application to the problem of prediction the time of the impact of the Earth with a potentially dangerous asteroid based on the data of the IAU (International Astronomical Union) Minor Planet Center and extremal floods in Sankt-Petersburg.
