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math.ST2025
Asymptotic theory for the likelihood-based block maxima method in time series
David L. Carl, Simone A. Padoan, Stefano Rizzelli
This paper develops a rigorous asymptotic framework for likelihood-based inference in the Block Maxima (BM) method for stationary time series. While Bayesian inference under the BM…
math.ST2025
Asymptotic theory for Bayesian inference and prediction: from the ordinary to a conditional Peaks-Over-Threshold method
Clément Dombry, Simone A. Padoan, Stefano Rizzelli
The Peaks Over Threshold (POT) method is the most popular statistical method for the analysis of univariate extremes. Even though there is a rich applied literature on Bayesian inf…