Identification with interruptions as an anti-bursting device
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 probability...
Fisher's test of periodicity in time series and Siegel's version of this test for compound periodicities are investigated in the paper. An improvement increasing the power of the test is suggested and demonstrated by means of numerical simulations.