Parameter estimation for generalized Pareto distribution by generalized probability weighted moment-equations

ABSTRACT

The generalized Pareto distribution (GPD) has been widely used to model exceedances over a threshold. This article generalizes the method of generalized probability weighted moments, and applies this method to estimate the parameters of GPD. The estimator is computationally easy. Some asymptotic results of this method are provided. Two simulations are carried out to investigate the behavior of this method and to compare them with other methods suggested in the literature. The simulation results show that the performance of the proposed method is better than some other methods. Finally, this method is applied to analyze a real-life data.

KEYWORDS:

• Generalized Pareto distribution
• Generalized probability Weighted moments
• Quasi-moments

MATHEMATICS SUBJECT CLASSIFICATION:

• 62F10
• 62G30

Acknowledgments

The authors thank reviewers, an associate editor, and the editor for their helpful corrections, comments and suggestions that led to an improved version of this article.

funding

The project was partially supported by Beijing Natural Science Foundation (Grant No. 1154005), Research Fund for the Doctoral Program of Higher Education of China (Grant No. 20131103120027), and Science and Technology Program of Beijing Education Commission (Grant No. KM201610005020).