Accession Number : ADA141696

Title :   Estimation of the Generalized Extreme-Value Distribution by the Method of Probability Weighted Moments.

Descriptive Note : Technical summary rept.,

Corporate Author : WISCONSIN UNIV-MADISON MATHEMATICS RESEARCH CENTER

Personal Author(s) : Hosking,J R M ; Wallis,J R ; Wood,E F

PDF Url : ADA141696

Report Date : Apr 1984

Pagination or Media Count : 28

Abstract : The authors use the method of probability weighted moments to derive estimators of the parameters and quantiles of the generalized extreme-value distribution. They investigate the properties of these estimators in large samples, via asymptotic theory, and in small and moderate samples, via computer simulation. Probability weighted moment estimators have low variance and no severe bias, and compare favourably with estimators obtained by the methods of maximum likelihood or sextiles. The method of probability weighted moments also yields a convenient and powerful test of whether an extreme-value distribution is of Fisher-Tippett type I, II, or III. (Author)

Descriptors :   *Numerical methods and procedures, *Weighting functions, *Method of moments, *Probability distribution functions, Estimates, Parametric analysis, Computerized simulation, Order statistics, Computerized simulation, Order statistics, Hypotheses, Asymptotic normality, Tables(Data)

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE