Publication detail

Different Approaches to Inference for the Extreme Value Distribution

MICHÁLEK, J. FUSEK, M.

Original Title

Different Approaches to Inference for the Extreme Value Distribution

Type

abstract

Language

English

Original Abstract

Extreme value theory has become widely used in applied sciences over the last 60 years. At present applications of the extreme value modeling are very popular in environmental sciences, in particular in hydrology and climatology for assessment of meteorological changes. Many statistical methods have been proposed for parameter estimation of extreme value distribution. These methods include graphical techniques which use different versions of probability plots, maximum likelihood-based methods, techniques based on probability-weighted moments, procedures in which parameters are estimated as specified function of order statistics (the Hill estimator). The contribution deals with the comparisons of the above mentioned methods of estimation for data which correspond to real data sets. The finite-sample behavior of the estimators is compared by simulations.

Keywords

extreme value distribution, Pareto distribution, maximum likelihood method, probability-weighted moment methods, order statistics

Authors

MICHÁLEK, J.; FUSEK, M.

Released

23. 9. 2011

Location

Yalta, Ukraine

ISBN

978-966-188-227-9

Book

XVIII International Conference Problems of Decision Making under Uncertainties

Pages from

165

Pages to

166

BibTex

@misc{BUT74291,
  author="Jaroslav {Michálek} and Michal {Fusek}",
  title="Different Approaches to Inference for the Extreme Value Distribution",
  booktitle="XVIII International Conference Problems of Decision Making under Uncertainties",
  year="2011",
  pages="165--166",
  address="Yalta, Ukraine",
  isbn="978-966-188-227-9",
  note="abstract"
}