Estimation of second order parameters using probability-weighted moments
نویسندگان
چکیده
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 new estimator for the second order parameter ρ, which will be compared to other recent estimators through some simulations. Asymptotic normality results are also proved. Our new estimator of ρ looks especially competitive when |ρ| is small. AMS Classification : Primary 62G32; Secondary 60G70
منابع مشابه
The Zografos–Balakrishnan-log-logistic Distribution
Tthe Zografos–Balakrishnan-log-logistic (ZBLL) distribution is a new distribution of three parameters that has been introduced by Ramos et el. [1], and They presented some properties of the new distribution such as its probability density function, The cumulative distribution function, The moment generating function, its hazard (failure) rate function, quantiles and moments, Rényi and Shannon ...
متن کاملEvaluation of estimation methods for parameters of the probability functions in tree diameter distribution modeling
One of the most commonly used statistical models for characterizing the variations of tree diameter at breast height is Weibull distribution. The usual approach for estimating parameters of a statistical model is the maximum likelihood estimation (likelihood method). Usually, this works based on iterative algorithms such as Newton-Raphson. However, the efficiency of the likelihood method is not...
متن کاملComparison of Two New Robust Parameter Estimation Methods for the Power Function Distribution
Estimation of any probability distribution parameters is vital because imprecise and biased estimates can be misleading. In this study, we investigate a flexible power function distribution and introduced new two methods such as, probability weighted moments, and generalized probability weighted methods for its parameters. We compare their results with L-moments, trimmed L-moments by a simulati...
متن کاملSuggests copBasic, Lmoments Date 2013-02-15
Description The package implements the statistical theory of L-moments in R including L-moment estimation, probability-weighted moment estimation, parameter estimation for numerous familiar and not-so-familiar distributions, and L-moment estimation for the same distributions from the parameters. L-moments are derived from the expectations of order statistics and are linear with respect to the p...
متن کاملDetermination of Stability Domains for Nonlinear Dynamical Systems Using the Weighted Residuals Method
Finding a suitable estimation of stability domain around stable equilibrium points is an important issue in the study of nonlinear dynamical systems. This paper intends to apply a set of analytical-numerical methods to estimate the region of attraction for autonomous nonlinear systems. In mechanical and structural engineering, autonomous systems could be found in large deformation problems or c...
متن کامل