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Article Dans Une Revue Communications in Statistics - Theory and Methods Année : 2014

Skew Generalized Extreme Value Distribution: Probability Weighted Moments Estimation and Application to Block Maxima Procedure

Résumé

Following the work of Azzalini ([2] and [3]) on the skew normal distribution, we propose an extension of the Generalized Extreme Value (GEV) distribution, the SGEV. This new distribution allows for a better t of maxima and can be interpreted as both the distribution of maxima when maxima are taken on dependent data and when maxima are taken over a random block size. We propose to estimate the parameters of the SGEV distribution via the Probability Weighted Moments method. A simulation study is presented to provide an application of the SGEV on block maxima procedure and return level estimation. The proposed method is also implemented on a real-life data.
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Dates et versions

hal-01018877 , version 1 (07-07-2014)

Identifiants

  • HAL Id : hal-01018877 , version 1

Citer

Pierre Ribereau, Esterina Masiello, Philippe Naveau. Skew Generalized Extreme Value Distribution: Probability Weighted Moments Estimation and Application to Block Maxima Procedure. Communications in Statistics - Theory and Methods, 2014, pp.1-25. ⟨hal-01018877⟩
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