• Complex
  • Title
  • Keyword
  • Abstract
  • Scholars
  • Journal
  • ISSN
  • Conference
搜索

Author:

Chen, Haiqing (Chen, Haiqing.) | Cheng, Weihu (Cheng, Weihu.) (Scholars:程维虎) | Zhao, Jing (Zhao, Jing.) (Scholars:赵京) | Zhao, Xu (Zhao, Xu.)

Indexed by:

EI Scopus SCIE

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.

Keyword:

Generalized probability Weighted moments Quasi-moments Generalized Pareto distribution

Author Community:

  • [ 1 ] [Chen, Haiqing]Beijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China
  • [ 2 ] [Cheng, Weihu]Beijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China
  • [ 3 ] [Zhao, Jing]Beijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China
  • [ 4 ] [Zhao, Xu]Beijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China
  • [ 5 ] [Chen, Haiqing]Guizhou Normal Coll, Sch Math & Comp Sci, Guiyang, Guizhou, Peoples R China

Reprint Author's Address:

  • [Chen, Haiqing]Beijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China

Show more details

Related Keywords:

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

Online/Total:557/10704371
Address:BJUT Library(100 Pingleyuan,Chaoyang District,Beijing 100124, China Post Code:100124) Contact Us:010-67392185
Copyright:BJUT Library Technical Support:Beijing Aegean Software Co., Ltd.