Estimation of the maximum entropy quantile function using fractional probability weighted moments

被引：17
|
作者：
Deng, Jian [1 ,2 ]
Pandey, M. D. [1 ]
机构：
[1] Univ Waterloo, Dept Civil Engn, Waterloo, ON N2L 3G1, Canada
[2] Cent S Univ, Sch Resources & Safety Engn, Changsha 410083, Peoples R China
来源：
STRUCTURAL SAFETY | 2008年 / 30卷 / 04期
基金：
加拿大自然科学与工程研究理事会; 中国国家自然科学基金;
关键词：
maximum entropy principle; probability weighted moment; quantile function; generalized Pareto distribution; Weibull distribution; extreme value analysis; probability theory;
D O I：
10.1016/j.strusafe.2007.05.005
中图分类号：
TU [建筑科学];
学科分类号：
0813 ;
摘要：
In a previous study, the conventional or integral-order probability weighted moments (IPWM) and the principle of maximum entropy were combined to derive an analytical form of the quantile function of a random variable [Pandey MD. Direct estimation of quantile functions using the maximum entropy principle. Struct Safety 2000;22(1):61-79]. This method is extended and improved in the present paper by utilizing the concept of fractional probability weighted moments (FPWMs). A general estimation method is proposed in which the Monte Carlo simulations and optimization algorithms are combined to estimate fractionals of FPWM that would lead to the best-fit quantile function. The numerical examples presented in the paper illustrate that the accuracy of the proposed FPWM based quantile function is superior to that estimated from the use of conventional IPWMs. (C) 2007 Elsevier Ltd. All rights reserved.
引用
收藏
页码：307 / 319
页数：13
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