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Abstract:
The generalized Pareto distribution (GPD) has been widely used to model exceedances over a threshold. This article generalizes the method of generalized probability weighted moments, and applies this method to estimate the parameters of GPD. The estimator is computationally easy. Some asymptotic results of this method are provided. Two simulations are carried out to investigate the behavior of this method and to compare them with other methods suggested in the literature. The simulation results show that the performance of the proposed method is better than some other methods. Finally, this method is applied to analyze a real-life data.
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Source :
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
ISSN: 0361-0918
Year: 2017
Issue: 10
Volume: 46
Page: 7761-7776
0 . 9 0 0
JCR@2022
ESI Discipline: MATHEMATICS;
ESI HC Threshold:66
CAS Journal Grade:4
Cited Count:
WoS CC Cited Count: 8
SCOPUS Cited Count: 11
ESI Highly Cited Papers on the List: 0 Unfold All
WanFang Cited Count:
Chinese Cited Count:
30 Days PV: 7
Affiliated Colleges: