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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.
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Submitted on : Thursday, May 3, 2012 - 8:30:56 AM
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Jean Diebolt, A Guillou, I Rached. Approximation of the distribution of excesses using a generalized probability weighted moment method. Comptes Rendus. Mathématique, Académie des sciences (Paris), 2005, 340 (5), pp.383--388. ⟨10.1016/j.crma.2005.01.017⟩. ⟨hal-00693863⟩

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