Shabri, Ani and Jemain, Abdul Aziz (2007) LQ-moments for statistical analysis of extreme events. Journal of Modern Applied Statistical Methods, 6 (1). pp. 228-238.
Official URL: http://tbf.coe.wayne.edu/jmasm/vol6_no1.pdf
Statistical analysis of extremes is conducted for predicting large return periods events. LQ-moments that are based on linear combinations are reviewed for characterizing the upper quantiles of distributions and larger events in data. The LQ-moments method is presented based on a new quick estimator using five points quantiles and the weighted kernel estimator to estimate the parameters of the generalized extreme value (GEV) distribution. Monte Carlo methods illustrate the performance of LQ-moments in fitting the GEV distribution to both GEV and non-GEV samples. The proposed estimators of the GEV distribution were compared with conventional L-moments and LQ-moments based on linear interpolation quantiles for various sample sizes and return periods. The results indicate that the new method has generally good performance and makes it an attractive option for estimating quantiles in the GEV distribution.
|Uncontrolled Keywords:||Generalized extreme value, L-moments, LQ-moments, quick estimator, weighted kernel|
|Subjects:||Q Science > QA Mathematics|
|Deposited By:||Maznira Sylvia Azra Mansor|
|Deposited On:||13 Jan 2009 03:29|
|Last Modified:||01 Jun 2010 15:54|
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