Approximation of the distribution of excesses through a generalized probability-weighted moments method

@inproceedings{Diebolt2007ApproximationOT,
  title={Approximation of the distribution of excesses through a generalized probability-weighted moments method},
  author={Jean Diebolt and Armelle Guillou and Imen Rached},
  year={2007}
}
The POT (peaks-over-threshold) approach consists in using the generalized Pareto distribution (GPD) to approximate the distribution of excesses over a threshold. In this paper, we consider this approximation using a generalized probability-weighted moments (GPWM) method. We study the asymptotic behaviour of our new estimators and also the functional bias of the GPD as an estimate of the distribution function of the excesses. A simulation study is provided in order to appreciate the efficiency… CONTINUE READING