Parameter Estimation of Trimmed Generalized Probability Weighted Moments for the Generalized Pareto Distribution

被引：0
|
作者：
Zhao Xu [1 ]
Cheng Weihu [1 ]
机构：
[1] Beijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China
来源：
RECENT ADVANCE IN STATISTICS APPLICATION AND RELATED AREAS, PTS 1 AND 2 | 2011年
关键词：
Generalized Pareto distribution; Trimmed generalized probability weighted moments; Threshold; Probability weighted moments estimation; Monte-Carlo simulation;
D O I：
暂无
中图分类号：
O1 [数学]; C [社会科学总论];
学科分类号：
03 ; 0303 ; 0701 ; 070101 ;
摘要：
The generalized Pareto distribution (GPD) is one of the most important distributions in statistics analysis. Firstly, we give parameters estimation method for the three parameters GPD based on trimmed generalized probability weighted moments (TGPWM). In addition, we study threshold selection to test the exceedances over the threshold whether follow the GPD based on TGPWM. The proposed estimation method is easy to apply and has high accuracy under Monte-Carlo simulation tests. Key words: Generalized Pareto distribution, Trimmed generalized probability weighted moments,
引用
收藏
页码：1328 / 1332
页数：5
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