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Pré-Publication, Document De Travail Année : 2009

Estimation of second order parameters using probability-weighted moments

Résumé

The P.O.T. method (Peaks Over Threshold) consists in using the generalized Pareto distribution (GPD) as an approximation for the distribution of excesses over a high threshold. In this work, we use a refinement of this approximation in order to estimate second order parameters of the model using the method of probability-weighted moments (PWM): in particular, this leads to the introduction of a new estimator for the second order parameter $\rho$, which will be compared to other recent estimators through some simulations. Asymptotic normality results are proved~; they are especially valid in the case $\rho=0$.
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Dates et versions

hal-00365305 , version 1 (03-03-2009)
hal-00365305 , version 2 (09-03-2009)

Identifiants

  • HAL Id : hal-00365305 , version 1

Citer

Julien Worms, Rym Worms. Estimation of second order parameters using probability-weighted moments. 2009. ⟨hal-00365305v1⟩
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