Approximation of the distribution of excesses through a generalized probability-weighted moments method
| Autor: | Imen Rached, Armelle Guillou, Jean Diebolt |
|---|---|
| Přispěvatelé: | Laboratoire d'Analyse et de Mathématiques Appliquées (LAMA), Université Paris-Est Marne-la-Vallée (UPEM)-Fédération de Recherche Bézout-Université Paris-Est Créteil Val-de-Marne - Paris 12 (UPEC UP12)-Centre National de la Recherche Scientifique (CNRS), Centre National de la Recherche Scientifique (CNRS)-Université Paris-Est Créteil Val-de-Marne - Paris 12 (UPEC UP12)-Fédération de Recherche Bézout-Université Paris-Est Marne-la-Vallée (UPEM) |
| Rok vydání: | 2007 |
| Předmět: |
Statistics and Probability
Generalized function 010504 meteorology & atmospheric sciences Distribution (number theory) Applied Mathematics Estimator 01 natural sciences 010104 statistics & probability symbols.namesake Distribution function [MATH.MATH-MP]Mathematics [math]/Mathematical Physics [math-ph] Generalized Pareto distribution Statistics symbols Applied mathematics Probability distribution Pareto distribution 0101 mathematics Statistics Probability and Uncertainty Extreme value theory 0105 earth and related environmental sciences Mathematics |
| Zdroj: | Journal of Statistical Planning and Inference Journal of Statistical Planning and Inference, Elsevier, 2007, 137 (3), pp.841--857. ⟨10.1016/j.jspi.2006.06.012⟩ |
| ISSN: | 0378-3758 1873-1171 |
| DOI: | 10.1016/j.jspi.2006.06.012 |
| Popis: | International audience; The POT (peaks-over-threshold) approach consists in using the generalized Pareto distribution (GPD) to approximate the distribution of excesses over a threshold. In this paper, we consider this approximation using a generalized probability-weighted moments (GPWM) method. We study the asymptotic behaviour of our new estimators and also the functional bias of the GPD as an estimate of the distribution function of the excesses. A simulation study is provided in order to appreciate the efficiency of our approach. (c) 2006 Elsevier B.V. All rights reserved. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|
Full Text from ScienceDirect