A comparison of L-, LQ-, TL-moment and maximum likelihood high quantile estimates of the GPD and GEV distribution. Issue 8 (14th September 2017)

• Record Type: Journal Article
• Authors: Šimková, Tereza; Picek, Jan
• Is Part Of: Communications in statistics. Volume 46:Issue 8(2017)
• Page Start: 5991
• Page End: 6010
• Publication Date: 2017-09-14
• Subjects: Generalized extreme-value distribution -- Generalized Pareto distribution -- L-moment -- LQ-moment -- TL-moment; 62F10; Mathematical statistics -- Periodicals; Mathematical statistics -- Data processing -- Periodicals; Digital computer simulation -- Periodicals; 519.5
• DOI: 10.1080/03610918.2016.1188206
• Languages: English
• ISSNs: 0361-0918

Abstract

ABSTRACT: In this article, L-moments, LQ-moments and TL-moments of the generalized Pareto and generalized extreme-value distributions are derived up to the fourth order. The first three L-, LQ- and TL-moments are used to obtain estimators of their parameters. Performing a simulation study, high-quantile estimates based on L-, LQ-, and TL-moments are compared to the maximum likelihood estimate with respect to their sample mean squared error. This consists of identifying an optimal combination of parameters α and p both considered in the range [0, 0.5] for estimating quantiles by LQ-moments. The results show L-moment and maximum likelihood methods outperform other methods.