Skip to Main content Skip to Navigation
Journal articles

Approximation of the distribution of excesses through a generalized probability-weighted moments method

Abstract : The POT (peaks-over-threshold) approach consists in using the generalized Pareto distribution (GPD) to approximate the distribution of excesses over a threshold. In this paper, we consider this approximation using a generalized probability-weighted moments (GPWM) method. We study the asymptotic behaviour of our new estimators and also the functional bias of the GPD as an estimate of the distribution function of the excesses. A simulation study is provided in order to appreciate the efficiency of our approach. (c) 2006 Elsevier B.V. All rights reserved.
Document type :
Journal articles
Complete list of metadatas

https://hal-upec-upem.archives-ouvertes.fr/hal-00693666
Contributor : Admin Lama <>
Submitted on : Wednesday, May 2, 2012 - 10:07:37 PM
Last modification on : Monday, June 15, 2020 - 3:08:13 PM

Identifiers

Citation

Jean Diebolt, Armelle Guillou, Imen Rached. Approximation of the distribution of excesses through a generalized probability-weighted moments method. Journal of Statistical Planning and Inference, Elsevier, 2007, 137 (3), pp.841--857. ⟨10.1016/j.jspi.2006.06.012⟩. ⟨hal-00693666⟩

Share

Metrics

Record views

543