Skip to Main content Skip to Navigation
Journal articles

Approximation of the distribution of excesses using a generalized probability weighted moment method

Abstract : The POT (Peaks-Over-Threshold) approach consists of using the generalized Pareto distribution (GPD) to approximate the distribution of excesses over a threshold. In this Note, we consider this approximation using a generalized probability weighted moment (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.
Document type :
Journal articles
Complete list of metadata

https://hal-upec-upem.archives-ouvertes.fr/hal-00693863
Contributor : Admin Lama Connect in order to contact the contributor
Submitted on : Thursday, May 3, 2012 - 8:30:56 AM
Last modification on : Tuesday, October 19, 2021 - 4:07:09 PM

Identifiers

`

Citation

Jean Diebolt, A Guillou, I Rached. Approximation of the distribution of excesses using a generalized probability weighted moment method. Comptes Rendus. Mathématique, Centre Mersenne (2020-..) ; Elsevier Masson (2002-2019), 2005, 340 (5), pp.383--388. ⟨10.1016/j.crma.2005.01.017⟩. ⟨hal-00693863⟩

Share

Metrics

Record views

583