Approximation of the distribution of excesses through a generalized probability-weighted moments method
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Publication:866629
DOI10.1016/J.JSPI.2006.06.012zbMATH Open1107.60027OpenAlexW2082927686MaRDI QIDQ866629FDOQ866629
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
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Cites Work
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- Parameter and Quantile Estimation for the Generalized Pareto Distribution
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- On the estimation of high quantiles
- A new look at probability-weighted moments estimators
- Convergence rates for the ultimate and pentultimate approximations in extreme-value theory
- Approximation by penultimate extreme value distributions
- Penultimate limiting forms in extreme value theory
- Asymptotic behaviour of the probability-weighted moments and penultimate approximation
- Penultimate approximation for the distribution of the excesses
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Cited In (19)
- 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
- Long-term time-dependent stochastic modelling of extreme waves
- A goodness-of-fit test for heavy tailed distributions with unknown parameters and its application to simulated precipitation extremes in the Euro-Mediterranean region
- Applying the solution for the first multiplicity of types equation to calculate exact approximations of the probability distributions of statistical values
- Approximating a Cumulative Distribution Function by Generalized Hyperexponential Distributions
- 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
- 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
- Title not available (Why is that?)
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