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Pregled bibliografske jedinice broj: 937667

Generalised Pareto distribution : impact of rounding on parameter estimation


Pasarić, Zoran; Cindrić Kalin, Ksenija
Generalised Pareto distribution : impact of rounding on parameter estimation // Theoretical and applied climatology (2018) doi:10.1007/s00704-018-2494-5 (znanstveni, prihvaćen)


Naslov
Generalised Pareto distribution : impact of rounding on parameter estimation

Autori
Pasarić, Zoran ; Cindrić Kalin, Ksenija

Vrsta, podvrsta
Radovi u časopisima, znanstveni

Izvornik
Theoretical and applied climatology (2018)

Status rada
Prihvaćen

Ključne riječi
Generalized Pareto distribution ; dry spells ; L-moments ; Maximum likelihood

Sažetak
Problems that occur when common methods (e.g. maximum likelihood and L-moments) for fitting a generalised Pareto (GP) distribution are applied to discrete (rounded) data sets are revealed by analysing the real, dry spell duration series. The analysis is subsequently performed on generalised Pareto time series obtained by systematic Monte Carlo (MC) simulations. The solution depends on the following: (1) the actual amount of rounding, as determined by the actual data range (measured by the scale parameter, σ) vs. the rounding increment (Δx), combined with ; (2) applying a certain (sufficiently high) threshold and considering the series of excesses instead of the original series. For a moderate amount of rounding (e.g. σ/Δx ≥ 4), which is commonly met in practice (at least regarding the dry spell data), and where no threshold is applied, the classical methods work reasonably well. If cutting at the threshold is applied to rounded data—which is actually essential when dealing with a GP distribution—then classical methods applied in a standard way can lead to erroneous estimates, even if the rounding itself is moderate. In this case, it is necessary to adjust the theoretical location parameter for the series of excesses. The other solution is to add an appropriate uniform noise to the rounded data (“so-called” jittering). This, in a sense, reverses the process of rounding ; and thereafter, it is straightforward to apply the common methods. Finally, if the rounding is too coarse (e.g. σ/Δx~1), then none of the above recipes would work ; and thus, specific methods for rounded data should be applied.

Izvorni jezik
Engleski

Znanstvena područja
Geofizika



POVEZANOST RADA


Projekt / tema
HRZZ-IP-2013-11-2831 - Klima jadranske regije u njenom globalnom kontekstu (Mirko Orlić, )

Ustanove
Državni hidrometeorološki zavod,
Prirodoslovno-matematički fakultet, Zagreb

Profili:

Avatar Url Zoran Pasarić (autor)

Avatar Url Ksenija Cindrić Kalin (autor)

Citiraj ovu publikaciju

Pasarić, Zoran; Cindrić Kalin, Ksenija
Generalised Pareto distribution : impact of rounding on parameter estimation // Theoretical and applied climatology (2018) doi:10.1007/s00704-018-2494-5 (znanstveni, prihvaćen)
Pasarić, Z. & Cindrić Kalin, K. (2018) Generalised Pareto distribution : impact of rounding on parameter estimation. Prihvaćen za objavljivanje u Theoretical and applied climatology. [Preprint] doi:10.1007/s00704-018-2494-5.
@unknown{unknown, year = {2018}, DOI = {10.1007/s00704-018-2494-5}, keywords = {Generalized Pareto distribution, dry spells, L-moments, Maximum likelihood}, journal = {Theoretical and applied climatology}, doi = {10.1007/s00704-018-2494-5}, title = {Generalised Pareto distribution : impact of rounding on parameter estimation}, keyword = {Generalized Pareto distribution, dry spells, L-moments, Maximum likelihood} }

Časopis indeksira:


  • Current Contents Connect (CCC)
  • Web of Science Core Collection (WoSCC)
    • Science Citation Index Expanded (SCI-EXP)
    • SCI-EXP, SSCI i/ili A&HCI
  • Scopus


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