LQ-moments for statistical analysis of extreme events

Ani Shabri, Abdul Aziz Jemain

Research output: Contribution to journalArticle

5 Citations (Scopus)

Abstract

Statistical analysis of extremes is conducted for predicting large return periods events. LQ-moments that are based on linear combinations are reviewed for characterizing the upper quantiles of distributions and larger events in data. The LQ-moments method is presented based on a new quick estimator using five points quantiles and the weighted kernel estimator to estimate the parameters of the generalized extreme value (GEV) distribution. Monte Carlo methods illustrate the performance of LQ-moments in fitting the GEV distribution to both GEV and non-GEV samples. The proposed estimators of the GEV distribution were compared with conventional L-moments and LQ-moments based on linear interpolation quantiles for various sample sizes and return periods. The results indicate that the new method has generally good performance and makes it an attractive option for estimating quantiles in the GEV distribution.

Original languageEnglish
Pages (from-to)228-238
Number of pages11
JournalJournal of Modern Applied Statistical Methods
Volume6
Issue number1
Publication statusPublished - May 2007

Fingerprint

Generalized Extreme Value Distribution
Extreme Events
Quantile
Statistical Analysis
Moment
Extreme Values
L-moments
Estimator
Moment Method
Linear Interpolation
Kernel Estimator
Monte Carlo method
Linear Combination
Sample Size
Extremes
Generalized extreme value distribution
Statistical analysis
Extreme events
Estimate

Keywords

  • Generalized extreme value
  • L-moments
  • LQ-moments
  • Quick estimator
  • Weighted kernel

ASJC Scopus subject areas

  • Statistics, Probability and Uncertainty
  • Statistics and Probability

Cite this

LQ-moments for statistical analysis of extreme events. / Shabri, Ani; Jemain, Abdul Aziz.

In: Journal of Modern Applied Statistical Methods, Vol. 6, No. 1, 05.2007, p. 228-238.

Research output: Contribution to journalArticle

Shabri, Ani ; Jemain, Abdul Aziz. / LQ-moments for statistical analysis of extreme events. In: Journal of Modern Applied Statistical Methods. 2007 ; Vol. 6, No. 1. pp. 228-238.
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