| Attributs | Valeurs |
|---|
| type
| |
| Is Part Of
| |
| Subject
| |
| Title
| - Estimation of second order parameters using probability weighted moments
|
| Date
| |
| has manifestation of work
| |
| related by
| |
| Author
| |
| Abstract
| - The P.O.T. method (Peaks Over Threshold) consists in using the generalized Pareto distribution (GPD) as an approximation for the distribution of excesses over a high threshold. In this work, we use a refinement of this approximation in order to estimate second order parameters of the model using the method of probability-weighted moments (PWM): in particular, this leads to the introduction of a new estimator for the second order parameter ρ, which will be compared to other recent estimators through some simulations. Asymptotic normality results are also proved. Our new estimator of ρ looks especially competitive when | ρ| is small.
|
| article type
| |
| publisher identifier
| |
| Date Copyrighted
| |
| Rights
| - © EDP Sciences, SMAI, 2012
|
| Rights Holder
| |
| is part of this journal
| |
| is primary topic
of | |
