Parametric Estimation Procedures in Multivariate Generalized Pareto Models

被引：3
|
作者：
Michel, Rene [1 ]
机构：
[1] Altran CIS, D-60313 Frankfurt, Germany
来源：
SCANDINAVIAN JOURNAL OF STATISTICS | 2009年 / 36卷 / 01期
关键词：
generalized Pareto distribution; hydrological data set; maximum likelihood; parametric estimation; peaks over threshold; Pickands coordinates;
D O I：
10.1111/j.1467-9469.2008.00619.x
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Modelling the tails of a multivariate distribution can be reasonably done by multivariate generalized Pareto distributions (GPDs). We present several methods of parametric estimation in these models, which use decompositions of the corresponding random vectors with the help of different versions of Pickands coordinates. The estimators are compared to each other with simulated data sets. To show the practical value of the methods, they are applied to a real hydrological data set.
引用
收藏
页码：60 / 75
页数：16
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