| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10523622 | Mathematics and Computers in Simulation | 2005 | 8 Pages |
Abstract
A systematic way of selecting hyperparameters of the prior on the shape parameter of the generalized extreme value distribution (GEVD) is presented. The optimal selection is based on a Monte Carlo simulation in the generalized maximum likelihood estimation (GMLE) framework. A scaled total misfit measure for the accurate estimation of upper quantiles is used for the selection criterion. The performance evaluations for GEVD and non-GEVD show that the GMLE with selected hyperparameters produces more accurate quantile estimates than the MLE, the L-moments estimator, and Martins-Stedinger's GMLE.
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Authors
Jeong-Soo Park,