Improving Probability-Weighted Moment Methods for the Generalized Extreme Value Distribution
In 1985 Hosking et al. estimated with the so-called Probability-Weighted Moments (PWM) method the parameters of the Generalized Extreme Value (GEV) distribution, the latter being classically fitted to maxima of sequences of independent and identically distributed random variables. Their approach is...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Instituto Nacional de Estatística | Statistics Portugal
2008-03-01
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| Series: | Revstat Statistical Journal |
| Subjects: | |
| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/56 |