Approximation of the distribution of excesses using a generalized probability weighted moment method - Laboratoire d'Analyse et de Mathématiques Appliquées Accéder directement au contenu
Article Dans Une Revue Comptes Rendus. Mathématique Année : 2005

Approximation of the distribution of excesses using a generalized probability weighted moment method

A Guillou
  • Fonction : Auteur
I Rached
  • Fonction : Auteur

Résumé

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.

Dates et versions

hal-00693863 , version 1 (03-05-2012)

Identifiants

Citer

Jean Diebolt, A Guillou, I Rached. Approximation of the distribution of excesses using a generalized probability weighted moment method. Comptes Rendus. Mathématique, 2005, 340 (5), pp.383--388. ⟨10.1016/j.crma.2005.01.017⟩. ⟨hal-00693863⟩
43 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More