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Estimation of second order parameters using probability-weighted moments

Abstract : The P.O.T. method (Peaks Over Threshold) consists in using the generalized Pareto distribution (GPD) as an approximation for the distribution of excesses over a high threshold. In this work, we use a refinement of this approximation in order to estimate second order parameters of the model using the method of probability-weighted moments (PWM): in particular, this leads to the introduction of a new estimator for the second order parameter $\rho$, which will be compared to other recent estimators through some simulations. Asymptotic normality results are proved~; they are especially valid in the case $\rho=0$.
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Submitted on : Monday, March 9, 2009 - 9:23:24 PM
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Julien Worms, Rym Worms. Estimation of second order parameters using probability-weighted moments. ESAIM: Probability and Statistics, EDP Sciences, 2012, 16, pp.97-113. ⟨10.1051/ps/2010017⟩. ⟨hal-00365305v2⟩

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