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Approximation of the distribution of excesses through a generalized probability-weighted moments method |
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| Authors: | Jean Diebolt Armelle Guillou Imen Rached |
| Affiliation: | 1. Université de Marne-la-Vallée, Équipe d’Analyse et de Mathématiques Appliquées, 5, boulevard Descartes, Batiment Copernic, Champs-sur-Marne, 77454 Marne-la-Vallée Cedex 2, France;2. Université Paris VI, Laboratoire de Statistique Théorique et Appliquée, Bo?ˆte 158, 175 rue du Chevaleret, 75013 Paris, France |
| Abstract: | The POT (peaks-over-threshold) approach consists in using the generalized Pareto distribution (GPD) to approximate the distribution of excesses over a threshold. In this paper, we consider this approximation using a generalized probability-weighted moments (GPWM) method. We study the asymptotic behaviour of our new estimators and also the functional bias of the GPD as an estimate of the distribution function of the excesses. A simulation study is provided in order to appreciate the efficiency of our approach. |
| Keywords: | 60G70 62G20 |
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