Semi-Parametric Probability-Weighted Moments Estimation Revisited
نویسندگان
چکیده
منابع مشابه
Estimation of second order parameters using probability-weighted moments
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...
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ژورنال
عنوان ژورنال: Methodology and Computing in Applied Probability
سال: 2012
ISSN: 1387-5841,1573-7713
DOI: 10.1007/s11009-012-9295-6