Parameter and quantile estimation for the generalized extreme-value distribution: A second look

Environmetrics

Volumn 10, Issue 1, 1999, Pages 119-124

  Dupuis, D J ^a  

^a DALHOUSIE UNIVERSITY   (Canada)

Author keywords

Newton Raphson; Order statistics; Probability weighted moments

Indexed keywords

METEOROLOGY; STATISTICAL ANALYSIS;

EID: 0032996972     PISSN: 11804009     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1099-095X(199901/02)10:1<119::AID-ENV342>3.0.CO;2-S     Document Type: Article

References (8)

1. Castillo, E. and Hadi, A. S. (1994). 'Parameter and quantile estimation for the generalized extreme-value distribution.' Environmetrics 5, 417-432.
2. Dupuis, D. J. (1996). 'Estimating the probability of obtaining nonfeasible parameter estimates of the generalized extreme-value distribution.' Journal of Statistical Computation and Simulation, 56, 23-38.
3. Dupuis, D. J. and Field, C. A. (1998). 'A comparison of confidence intervals for generalized extreme-value distributions.' Journal of Statistical Computation and Simulation, to appear.
4. Dupuis, D. J. and Field, C. A. (1998). 'Robust estimation of extremes.' Canadian Journal of Statistics, 26, 199-215.
5. Greenwood, J. A., Landwehr, J. M., Matelas, N. C. and Wallis, J. R. (1979). 'Probability-weighted moments: definition and relation to parameters of several distributions expressible in inverse form.' Water Resources Research 15, 1049-1054.
6. Hosking, J. R. M., Wallis, J. R. and Wood, E. F. (1985). 'Estimation of the generalized extreme-value distribution by the method of probability-weight moments.' Technometrics 27, 251-261.
7. Jenkinson, A. F. (1955). 'The frequency distribution of the annual maximum (or minimum) of meteorological elements.' Quarterly Journal of the Royal Meteorological Society 81, 158-171.
8. Press, W. H., Teukolsky, S. A., Vetterling, W. T. and Flannery, B. P. (1992). Numerical Recipes for Fortran. New York: Cambridge.