Semi-Parametric Probability-Weighted Moments Estimation Revisited

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...

Semi-parametric estimation of the strategic goods (OPEC oil price)

In the global economy, crude oil is among the most important strategic goods that affects the performance of local and international markets. Prediction of the oil price has always been an important challenging topic in the global economy and producers and consumers have constantly been trying to improve their roll in the oil price changes and for many years OPEC has been one of the key players...

Semi-parametric estimation of shifts

AbstractWe observe a large number of functions differing from each other only by a translation parameter. While the main pattern is unknown, we propose to estimate the shift parameters using M -estimators. Fourier transform enables to transform this statistical problem into a semi-parametric framework. We study the convergence of the estimator and provide its asymptotic behavior. Moreover, we u...

Sample-based quantile function estimation using entropy and self-determined probability weighted moments

The method of conventional probability-weighted moments (PWMs) and the principle of minimum cross entropy were combined to derive an analytical form of quantile function [Pandey, 2001]. This method is extended and improved in the present paper by utilizing the concept of self determined probability weighted moments (SD-PWMs). Minimum cross entropy principle and SD-PWMs from sample data were use...

Adaptive Estimation of Heteroscedastic Linear Regression Model Using Probability Weighted Moments