| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1150666 | Journal of Statistical Planning and Inference | 2007 | 17 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Jean Diebolt, Armelle Guillou, Imen Rached,