Record values from generalized Pareto distribution and associated inference

被引：15
|
作者：
Sultan, KS [1 ]
Moshref, ME [1 ]
机构：
[1] Al Azhar Univ, Fac Sci, Dept Math, Cairo 11884, Egypt
来源：
METRIKA | 2000年 / 51卷 / 02期
关键词：
upper record values; single moments; double moments; triple moments; quadruple moments; generalized Pareto distribution; Edgeworth approximation; coefficients of skewness and kurtosis; approximate confidence interval; pivotal quantity; best linear unbiased estimates; probability coverages;
D O I：
10.1007/s001840000025
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：
In this paper, we derive exact explicit expressions for the single, double, triple and quadruple moments of the upper record values from a generalized Pareto distribution. We then use these expressions to compute the mean, variance, and the coefficients of skewness and kurtosis of certain linear functions of record values, Finally, we develop approximate confidence intervals for the location and scale parameters of the generalized Pareto distribution using the Edgeworth approximation and compare them with the intervals constructed through Monte Carlo simulations.
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页码：105 / 116
页数：12
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