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Tuesday, January 18, 2011
10:30 AM - 12:00 PM
CNLS Conference Room (TA-3, Bldg 1690)

Seminar

Inference about rare events: parallels in the asymptotics of unobserved probability and tail estimation.

Mesrob I. Ohannessian
MIT

Consider the following two archetypal rare event problems: the estimation of the probability of (discrete) unobserved outcomes, and the estimation of the probability of (continuous) exceedance events, or tail estimation. In this talk we attempt to describe these problems from a common perspective, by analyzing them within the same theoretical framework of asymptotic statistics. In particular, we characterize discrete distributions with a rate parameter that closely relates to the heavy tail index in extreme value theory, and show that this parameter governs the mean asymptotic behavior of the probability of unobserved outcomes.

Host: Misha Chertkov, chertkov@lanl.gov, 665-8119