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Volumn 70, Issue 4, 2005, Pages 227-234

A simulation-based hyperparameter selection for quantile estimation of the generalized extreme value distribution

Author keywords

Beta distribution; Hydrology; L moment estimation; Maximum likelihood estimation; Penalized likelihood; Shape parameter

Indexed keywords

COMPUTER SIMULATION; HYDROLOGY; MAXIMUM LIKELIHOOD ESTIMATION; MONTE CARLO METHODS;

EID: 27844489144     PISSN: 03784754     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.matcom.2005.09.003     Document Type: Article
Times cited : (17)

References (10)
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    • Coles, S.1    Dixon, M.2
  • 3
    • 0141911087 scopus 로고    scopus 로고
    • Maximum likelihood parameter estimation by model augmentation with applications to the extended four-parameter generalized gamma distribution
    • H. Hirose Maximum likelihood parameter estimation by model augmentation with applications to the extended four-parameter generalized gamma distribution Math. Comp. Simul. 54 2000 81 97
    • (2000) Math. Comp. Simul. , vol.54 , pp. 81-97
    • Hirose, H.1
  • 4
    • 0001070119 scopus 로고
    • Algorithm AS 215: Maximum-likelihood estimation of the parameters of the generalized extreme-value distribution
    • J.R.M. Hosking Algorithm AS 215: maximum-likelihood estimation of the parameters of the generalized extreme-value distribution J. R. Stat. Soc., Ser. C: Appl. Stat. 34 1985 301 310
    • (1985) J. R. Stat. Soc., Ser. C: Appl. Stat. , vol.34 , pp. 301-310
    • Hosking, J.R.M.1
  • 5
    • 0000310360 scopus 로고
    • L-moments: Analysis and estimation of distributions using linear combinations of order statistics
    • J.R.M. Hosking L-moments: analysis and estimation of distributions using linear combinations of order statistics J. R. Stat. Soc. Ser. B 52 1990 105 124
    • (1990) J. R. Stat. Soc. Ser. B , vol.52 , pp. 105-124
    • Hosking, J.R.M.1
  • 6
    • 0028424687 scopus 로고
    • The four-parameter kappa distribution
    • J.R.M. Hosking The four-parameter kappa distribution IBM J. Res. Dev. 38 1994 251 258
    • (1994) IBM J. Res. Dev. , vol.38 , pp. 251-258
    • Hosking, J.R.M.1
  • 7
    • 0018943622 scopus 로고
    • Quantile estimation with more or less floodlike distributions
    • J.M. Landwehr, and N.C. Matalas Quantile estimation with more or less floodlike distributions Water Resour. Res. 16 1980 547 555
    • (1980) Water Resour. Res. , vol.16 , pp. 547-555
    • Landwehr, J.M.1    Matalas, N.C.2
  • 8
    • 0034019933 scopus 로고    scopus 로고
    • Generalized maximum-likelihood generalized extreme-value quantile estimators for hydrologic data
    • E.S. Martins, and J.R. Stedinger Generalized maximum-likelihood generalized extreme-value quantile estimators for hydrologic data Water Resour. Res. 36 2000 737 744
    • (2000) Water Resour. Res. , vol.36 , pp. 737-744
    • Martins, E.S.1    Stedinger, J.R.2
  • 9
    • 0001343627 scopus 로고
    • Maximum likelihood estimation of the parameters of the three-parameter generalized extreme-value distribution from censored samples
    • P. Prescott, and A.T. Walden Maximum likelihood estimation of the parameters of the three-parameter generalized extreme-value distribution from censored samples J. Stat. Comput. Simul. 16 1983 241 250
    • (1983) J. Stat. Comput. Simul. , vol.16 , pp. 241-250
    • Prescott, P.1    Walden, A.T.2
  • 10
    • 0942266806 scopus 로고    scopus 로고
    • Fat tails and asymmetry in financial volatility models
    • P. Verhoeven, and M. McAleer Fat tails and asymmetry in financial volatility models Math. Comp. Simul. 64 2004 351 361
    • (2004) Math. Comp. Simul. , vol.64 , pp. 351-361
    • Verhoeven, P.1    McAleer, M.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.