Generalized probability weighted moments: Application to the generalized Pareto Distribution

In order to assess their relative merits in the context of the determination of metocean extremes, the annual maxima (AM) and the peaks over threshold (POT) approaches are compared in terms of their accuracy in estimating exceedance probabilities on the basis of time series with various lengths and with characteristic that mimic those of real time series, such as nonstationarity and serial dependence. Based on the results of this study, the use of the POT approach is recommended. Furthermore, the method of probability weighted moments (PWMs) is recommended for the estimation of the parameters of the generalized Pareto distribution (GPD).

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Comparison of Tail Performance of the Champernowne Transformed Kernel Density Estimator, the Generalized Pareto Distribution and the G-and-H Distribution

SSRN Electronic Journal ◽

10.2139/ssrn.1395682 ◽

2009 ◽

Cited By ~ 2

Author(s):

Tine Buch-Kromann

Keyword(s):

Pareto Distribution ◽

Generalized Pareto Distribution ◽

Kernel Density ◽

Kernel Density Estimator ◽

Density Estimator ◽

Generalized Pareto

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Inference on P(Y

Calcutta Statistical Association Bulletin ◽

10.1177/0008068320974472 ◽

2020 ◽

Vol 72 (2) ◽

pp. 89-110

Author(s):

Manoj Chacko ◽

Shiny Mathew

Keyword(s):

Maximum Likelihood ◽

Pareto Distribution ◽

Generalized Pareto Distribution ◽

Maximum Likelihood Estimators ◽

Record Values ◽

Asymptotic Distributions ◽

Bayes Estimators ◽

Generalized Pareto ◽

Pareto Distributions ◽

Generalized Pareto Distributions

In this article, the estimation of [Formula: see text] is considered when [Formula: see text] and [Formula: see text] are two independent generalized Pareto distributions. The maximum likelihood estimators and Bayes estimators of [Formula: see text] are obtained based on record values. The Asymptotic distributions are also obtained together with the corresponding confidence interval of [Formula: see text]. AMS 2000 subject classification: 90B25

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The Gamma Generalized Pareto Distribution with Applications in Survival Analysis

International Journal of Statistics and Probability ◽

10.5539/ijsp.v6n3p141 ◽

2017 ◽

Vol 6 (3) ◽

pp. 141 ◽

Cited By ~ 2

Author(s):

Thiago A. N. De Andrade ◽

Luz Milena Zea Fernandez ◽

Frank Gomes-Silva ◽

Gauss M. Cordeiro

Keyword(s):

Monte Carlo Simulation ◽

Pareto Distribution ◽

Generalized Pareto Distribution ◽

Real Data ◽

Model Parameters ◽

Monte Carlo Simulation Study ◽

Lorenz Curves ◽

Generalized Pareto ◽

Mathematical Properties ◽

Pareto Model

We study a three-parameter model named the gamma generalized Pareto distribution. This distribution extends the generalized Pareto model, which has many applications in areas such as insurance, reliability, finance and many others. We derive some of its characterizations and mathematical properties including explicit expressions for the density and quantile functions, ordinary and incomplete moments, mean deviations, Bonferroni and Lorenz curves, generating function, R\'enyi entropy and order statistics. We discuss the estimation of the model parameters by maximum likelihood. A small Monte Carlo simulation study and two applications to real data are presented. We hope that this distribution may be useful for modeling survival and reliability data.

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