Displaying similar documents to “Transformations to symmetry based on the probability weighted characteristic function”

Improved inference for the generalized Pareto distribution under linear, power and exponential normalization

Osama Mohareb Khaled, Haroon Mohamed Barakat, Nourhan Khalil Rakha (2022)

Kybernetika

Similarity:

We discuss three estimation methods: the method of moments, probability weighted moments, and L-moments for the scale parameter and the extreme value index in the generalized Pareto distribution under linear normalization. Moreover, we adapt these methods to use for the generalized Pareto distribution under power and exponential normalizations. A simulation study is conducted to compare the three methods on the three models and determine which is the best, which turned out to be the...

Asymptotic behaviour of the probability-weighted moments and penultimate approximation

Jean Diebolt, Armelle Guillou, Rym Worms (2010)

ESAIM: Probability and Statistics

Similarity:

The P.O.T. (Peaks-Over-Threshold) approach consists of using the Generalized Pareto Distribution (GPD) to approximate the distribution of excesses over a threshold. We use the probability-weighted moments to estimate the parameters of the approximating distribution. We study the asymptotic behaviour of these estimators (in particular their asymptotic bias) and also the functional bias of the GPD as an estimate of the distribution function of the excesses. We adapt penultimate approximation...

Weighted halfspace depth

Daniel Hlubinka, Lukáš Kotík, Ondřej Vencálek (2010)

Kybernetika

Similarity:

Generalised halfspace depth function is proposed. Basic properties of this depth function including the strong consistency are studied. We show, on several examples that our depth function may be considered to be more appropriate for nonsymetric distributions or for mixtures of distributions.