Confidence intervals based on L-moments for quantiles of the GP and GEV distributions with application to market-opening asset prices data.

ABSTRACT: In a ground-breaking paper published in 1990 by the Journal of the Royal Statistical Society, J.R.M. Hosking defined the L-moment of a random variable as an expectation of certain linear combinations of order statistics. L-moments are an alternative to conventional moments and recently they have been used often in inferential statistics. L-moments have several advantages over the conventional moments, including robustness to the the presence of outliers, which may lead to more accurate estimates in some cases as the characteristics of distributions. In this contribution, asymptotic theory and L-moments are used to derive confidence intervals of the population parameters and quantiles of the three-parametric generalized Pareto and extreme-value distributions. Computer simulations are

SUBMITTER: Simkova T 

PROVIDER: S-EPMC9097979 | biostudies-literature | 2021

REPOSITORIES: biostudies-literature