Asymptotic behaviour of the probability-weighted moments and penultimate approximation

DOI10.1051/ps:2003010zbMath1017.60060OpenAlexW2168233059MaRDI QIDQ4405592

Rym Worms, Jean Diebolt, Armelle Guillou

Publication date: 23 June 2003

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=PS_2003__7__219_0

zbMATH Keywords

extreme valuesdomain of attractionpenultimate approximationgeneralized Pareto distributionprobability-weighted momentsexcesses

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Extreme value theory; extremal stochastic processes (60G70)

Related Items (6)

Approximation of the distribution of excesses through a generalized probability-weighted moments method ⋮ Probability weighted moments properties for small samples ⋮ Inference and Optimal Design Based on Step—Partially Accelerated Life Tests for the Generalized Pareto Distribution under Progressive Type-I Censoring ⋮ A Class of Semi-parametric Probability Weighted Moment Estimators ⋮ Quasi-conjugate Bayes estimates for GPD parameters and application to heavy tails modelling ⋮ Estimation of the Pareto and related distributions – A reference-intrinsic approach

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