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Asymptotic behaviour of the probability-weighted moments and penultimate approximation
Published online by Cambridge University Press: 15 May 2003
Abstract
The P.O.T. (Peaks-Over-Threshold) approach consists of using the Generalized Pareto Distribution (GPD) to approximate the distribution of excesses over a threshold. We use the probability-weighted moments to estimate the parameters of the approximating distribution. We study the asymptotic behaviour of these estimators (in particular their asymptotic bias) and also the functional bias of the GPD as an estimate of the distribution function of the excesses. We adapt penultimate approximation results to the case where parameters are estimated.
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- Research Article
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- © EDP Sciences, SMAI, 2003
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