Estimation of second order parameters using probability weighted moments
Julien Worms, Rym Worms (2012)
ESAIM: Probability and Statistics
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The P.O.T. method (Peaks Over Threshold) consists in using the generalized Pareto distribution (GPD) as an approximation for the distribution of excesses over a high threshold. In this work, we use a refinement of this approximation in order to estimate second order parameters of the model using the method of probability-weighted moments (PWM): in particular, this leads to the introduction of a new estimator for the second order parameter , which will be compared to other recent estimators...