期刊
TECHNOMETRICS
卷 51, 期 3, 页码 316-325出版社
AMER STATISTICAL ASSOC
DOI: 10.1198/TECH.2009.08017
关键词
Efficiency; Maximum likelihood estimation; Method of moment estimation; Probability-weighted moment estimation
资金
- National Natural Science Foundation of China (NSFC) [10871 167]
- National Sciences and Engineering Research Council of Canada (NSERC)
The generalized Pareto distribution (GPD) is widely used to model extreme values, for example, exceedences over thresholds, in modeling floods. Existing methods for estimating parameters have theoretical or computational defects. An efficient new estimator is proposed, which is computationally easy, free from the problems observed in traditional approaches, and performs well compared with existing estimators. A numerical example involving heights of waves is used to illustrate the various methods and tests of fit are performed to compare them.
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