Parameter estimation for generalized Pareto distribution by generalized probability weighted moment-equations

被引：8
|
作者：
Chen, Haiqing [1 ,2 ]
Cheng, Weihu [1 ]
Zhao, Jing [1 ]
Zhao, Xu [1 ]
机构：
[1] Beijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China
[2] Guizhou Normal Coll, Sch Math & Comp Sci, Guiyang, Guizhou, Peoples R China
来源：
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2017年 / 46卷 / 10期
基金：
高等学校博士学科点专项科研基金; 北京市自然科学基金;
关键词：
Generalized Pareto distribution; Generalized probability Weighted moments; Quasi-moments; QUANTILE ESTIMATION; ORDER-STATISTICS;
D O I：
10.1080/03610918.2016.1249884
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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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页码：7761 / 7776
页数：16
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