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

DOI10.1016/J.JSPI.2006.06.012MaRDI QIDQ866629zbMATH OpenOpenAlexFDO

Authors J. Diebolt, Armelle Guillou, Imen Rached

Publication date 14 February 2007

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2006.06.012

zbMATH Keywords

generalized Pareto distributionpenultimate approximationextreme values

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Extreme value theory; extremal stochastic processes (60G70)

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Cites work

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• A new look at probability-weighted moments estimators
• Approximation by penultimate extreme value distributions
• Approximations to permutation and exchangeable processes
• Asymptotic behaviour of the probability-weighted moments and penultimate approximation
• Convergence rates for the ultimate and pentultimate approximations in extreme-value theory
• On the Strong Law of Large Numbers and Related Results for Quasi-Stationary Sequences
• On the estimation of high quantiles
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Penultimate approximation for the distribution of the excesses
• Penultimate limiting forms in extreme value theory
• Sur la distribution limite du terme maximum d'une série aléatoire

Cited in

(19)

• scientific article; zbMATH DE number 1058152 (Why is no real title available?)
• The probability weighted characteristic function and goodness-of-fit testing
• Improving extreme quantile estimation via a folding procedure
• Exceedances over high thresholds: a guide to threshold selection
• OWA Aggregation of Probability Distributions Using the Probabilistic Exceedance Method
• A weighted least-squares procedure for estimating the parameters of Altham's multiplicative generalization of the binomial distribution
• A goodness-of-fit test for heavy tailed distributions with unknown parameters and its application to simulated precipitation extremes in the Euro-Mediterranean region
• Long-term time-dependent stochastic modelling of extreme waves
• Applying the solution for the first multiplicity of types equation to calculate exact approximations of the probability distributions of statistical values
• Approximation of the distribution of excesses using a generalized probability weighted moment method
• Asymptotic Normality of Extreme Quantile Estimators Based on the Peaks-Over-Threshold Approach
• Approximating a Cumulative Distribution Function by Generalized Hyperexponential Distributions
• Semi-parametric tail inference through probability-weighted moments
• Asymptotic behaviour of regular estimators
• Return level bounds for discrete and continuous random variables
• Extreme Value Theory and Statistics of Univariate Extremes: A Review
• Estimation of second order parameters using probability weighted moments
• Inference and Optimal Design Based on Step—Partially Accelerated Life Tests for the Generalized Pareto Distribution under Progressive Type-I Censoring
• Semi-parametric probability-weighted moments estimation revisited

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