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
Hauptverfasser:	Diebolt, Jean, Guillou, Armelle, Rached, Imen
Format:	Artikel
Sprache:	eng
Schlagworte:	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
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