Approximation of the distribution of excesses using a generalized probability weighted moment method
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 behavi...
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| Veröffentlicht in: | Comptes rendus. Mathématique 2005-03, Vol.340 (5), p.383-388 |
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| creator | Diebolt, Jean Guillou, Armelle Rached, Imen |
| description | 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.
To cite this article: J. Diebolt et al., C. R. Acad. Sci. Paris, Ser. I 340 (2005).
La méthode POT (pics au-delà d'un seuil) consiste à utiliser une distribution de Pareto généralisée (GPD) pour approximer la loi des excès au-delà d'un seuil. Dans cette Note, nous considérons cette approximation en utilisant une méthode des moments pondérés généralisés (GPWM). Nous étudions le comportement asymptotique des estimateurs ainsi que le biais fonctionnel de la loi GPD en tant qu'estimateur de la distribution des excès.
Pour citer cet article : J. Diebolt et al., C. R. Acad. Sci. Paris, Ser. I 340 (2005). |
| doi_str_mv | 10.1016/j.crma.2005.01.017 |
| format | Article |
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To cite this article: J. Diebolt et al., C. R. Acad. Sci. Paris, Ser. I 340 (2005).
La méthode POT (pics au-delà d'un seuil) consiste à utiliser une distribution de Pareto généralisée (GPD) pour approximer la loi des excès au-delà d'un seuil. Dans cette Note, nous considérons cette approximation en utilisant une méthode des moments pondérés généralisés (GPWM). Nous étudions le comportement asymptotique des estimateurs ainsi que le biais fonctionnel de la loi GPD en tant qu'estimateur de la distribution des excès.
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To cite this article: J. Diebolt et al., C. R. Acad. Sci. Paris, Ser. I 340 (2005).
La méthode POT (pics au-delà d'un seuil) consiste à utiliser une distribution de Pareto généralisée (GPD) pour approximer la loi des excès au-delà d'un seuil. Dans cette Note, nous considérons cette approximation en utilisant une méthode des moments pondérés généralisés (GPWM). Nous étudions le comportement asymptotique des estimateurs ainsi que le biais fonctionnel de la loi GPD en tant qu'estimateur de la distribution des excès.
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To cite this article: J. Diebolt et al., C. R. Acad. Sci. Paris, Ser. I 340 (2005).
La méthode POT (pics au-delà d'un seuil) consiste à utiliser une distribution de Pareto généralisée (GPD) pour approximer la loi des excès au-delà d'un seuil. Dans cette Note, nous considérons cette approximation en utilisant une méthode des moments pondérés généralisés (GPWM). Nous étudions le comportement asymptotique des estimateurs ainsi que le biais fonctionnel de la loi GPD en tant qu'estimateur de la distribution des excès.
Pour citer cet article : J. Diebolt et al., C. R. Acad. Sci. Paris, Ser. I 340 (2005).</abstract><cop>Paris</cop><pub>Elsevier SAS</pub><doi>10.1016/j.crma.2005.01.017</doi><tpages>6</tpages></addata></record> |
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| subjects | Distribution theory Exact sciences and technology Mathematical Physics Mathematics Nonparametric inference Parametric inference Probability and statistics Probability theory and stochastic processes Sciences and techniques of general use Statistics Stochastic processes |
| title | Approximation of the distribution of excesses using a generalized probability weighted moment method |
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