کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1150666 | 957971 | 2007 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Approximation of the distribution of excesses through a generalized probability-weighted moments method
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 137, Issue 3, 1 March 2007, Pages 841–857
Journal: Journal of Statistical Planning and Inference - Volume 137, Issue 3, 1 March 2007, Pages 841–857
نویسندگان
Jean Diebolt, Armelle Guillou, Imen Rached,