Performances of some parameter estimators of the generalized Pareto distribution over rounded-off samples

被引：36

作者：

Deidda, Roberto ^{[1
]}

Puliga, Michelangelo ^{[1
]}

机构：

[1] Univ Cagliari, Dipartimento Ingn Terr, Fac Ingn, I-09123 Cagliari, Italy

来源：

PHYSICS AND CHEMISTRY OF THE EARTH | 2009年 / 34卷 / 10-12期

关键词：

Generalized Pareto distribution; Estimators; Rounded-off records; Root mean square errors; Bias; PARTIAL DURATION SERIES; EXTREME HYDROLOGIC EVENTS; ANNUAL MAXIMUM SERIES; ORDER-STATISTICS; EXCEEDANCES; THRESHOLD; MOMENT;

D O I：

10.1016/j.pce.2008.12.002

中图分类号：

P [天文学、地球科学];

学科分类号：

07 ;

摘要：

Recent analyses on some daily rainfall time series highlighted the presence of records with anomalous rounding (1 and 5 mm), while the standard resolution should be 0.1 or 0.2 mm. Assuming that the generalized Pareto distribution (GPD) can reliably represent the distribution of daily rainfall depths, this study investigates how such discretizations can affect the inference process. The performances of several GPD estimators are compared using the Monte Carlo approach. Synthetic samples are drawn by GPDs with shape and scale parameters in the ranges of values estimated on daily rainfall depth time series. Results show how the relative efficiency of estimators could be very different for continuous or rounded-off samples. Moreover, when the rounding-off magnitude becomes larger than a few millimeters, all the considered estimators reveal very poor performances. (C) 2008 Elsevier Ltd. All rights reserved.

引用

页码：626 / 634

页数：9

共 30 条

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