Estimating the probability of obtaining nonfeasible parameter estimates of the generalized extreme-value distribution

Abstract

In this paper we consider the problem of estimating the parameters of the Generalized Extreme-Value distribution. The popular method of probability-weighted moments does not guarantee that estimates will be consistent with the observed data. We present a simple program to predict the probability of obtaining such nonfeasible estimates. Our estimation techniques are based on results from intensive simulations and the successful modelling of the lower tail of the distribution of the upper bound of the support. More simulations are performed to validate the new procedure.

Keywords:

• Probability-weighted moment estimates
• asymptotic behaviour
• lognormal distribution