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Estimating the end-point of a probability distribution using minimum-distance methods

Hall, Peter; Wang, Jane-Ling

Description

A technique based on minimum distance, derived from a coefficient of determination and representable in terms of Greenwood's statistic, is used to derive an estimator of the end-point of a distribution. It is appropriate in cases where the actual sample size is very large and perhaps unknown. The minimum-distance estimator is compared with a competitor based on maximum likelihood and shown to enjoy lower asymptotic variance for a range of values of the extremal exponent. When only a small...[Show more]

dc.contributor.authorHall, Peter
dc.contributor.authorWang, Jane-Ling
dc.date.accessioned2015-12-13T23:22:22Z
dc.date.available2015-12-13T23:22:22Z
dc.identifier.issn1350-7265
dc.identifier.urihttp://hdl.handle.net/1885/91420
dc.description.abstractA technique based on minimum distance, derived from a coefficient of determination and representable in terms of Greenwood's statistic, is used to derive an estimator of the end-point of a distribution. It is appropriate in cases where the actual sample size is very large and perhaps unknown. The minimum-distance estimator is compared with a competitor based on maximum likelihood and shown to enjoy lower asymptotic variance for a range of values of the extremal exponent. When only a small number of extremes is available, it is well defined much more frequently than the maximumlikelihood estimator. The minimum-distance method allows exact interval estimation, since the version of Greenwood's statistic on which it is based does not depend on nuisance parameters.
dc.publisherChapman & Hall
dc.sourceBernoulli
dc.subjectKeywords: Central limit theorem; Coefficient of determination; Domain of attraction; Extreme value theory; Goodness of fit; Greenwood's statistic; Least-squares maximum-likelihood order statistic; Pareto distribution; Sporting records; Weibull distribution
dc.titleEstimating the end-point of a probability distribution using minimum-distance methods
dc.typeJournal article
local.description.notesImported from ARIES
local.description.refereedYes
local.identifier.citationvolume5
dc.date.issued1999
local.identifier.absfor020204 - Plasma Physics; Fusion Plasmas; Electrical Discharges
local.identifier.ariespublicationMigratedxPub22156
local.type.statusPublished Version
local.contributor.affiliationHall, Peter, College of Physical and Mathematical Sciences, ANU
local.contributor.affiliationWang, Jane-Ling, University of California
local.bibliographicCitation.issue1
local.bibliographicCitation.startpage177
local.bibliographicCitation.lastpage189
dc.date.updated2015-12-12T09:10:46Z
local.identifier.scopusID2-s2.0-0037976299
CollectionsANU Research Publications

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