[Un nouvel aperçu sur les estimateurs des moments pondérés]
Dans cet article, nous proposons d'étudier, dans un cadre plus général, la méthode des moments pondérés utilisée par Hosking et Wallis (1987) dans le cas de distributions de Pareto généralisées dépendant de deux paramètres γ et σ. L'objectif est d'élargir le domaine d'applications : γ<1/2 indispensable pour obtenir les propriétés asymptotiques de leurs estimateurs. Nous montrons l'efficacité de notre technique par le biais de simulations.
In this article, we propose to study, in more generality, the probability-weighted moments method used by Hosking and Wallis (1987) in the case of generalized Pareto distributions which depend on two parameters γ and σ. The objective is to extend the domain of validity: γ<1/2 required in order to obtain the asymptotic properties of their estimators. By simulations, we show the efficiency of our technique.
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@article{CRMATH_2004__338_8_629_0,
author = {Diebolt, Jean and Guillou, Armelle and Rached, Imen},
title = {A new look at probability-weighted moments estimators},
journal = {Comptes Rendus. Math\'ematique},
pages = {629--634},
publisher = {Elsevier},
volume = {338},
number = {8},
year = {2004},
doi = {10.1016/j.crma.2004.02.011},
language = {en},
url = {http://www.numdam.org/articles/10.1016/j.crma.2004.02.011/}
}
TY - JOUR AU - Diebolt, Jean AU - Guillou, Armelle AU - Rached, Imen TI - A new look at probability-weighted moments estimators JO - Comptes Rendus. Mathématique PY - 2004 SP - 629 EP - 634 VL - 338 IS - 8 PB - Elsevier UR - http://www.numdam.org/articles/10.1016/j.crma.2004.02.011/ DO - 10.1016/j.crma.2004.02.011 LA - en ID - CRMATH_2004__338_8_629_0 ER -
%0 Journal Article %A Diebolt, Jean %A Guillou, Armelle %A Rached, Imen %T A new look at probability-weighted moments estimators %J Comptes Rendus. Mathématique %D 2004 %P 629-634 %V 338 %N 8 %I Elsevier %U http://www.numdam.org/articles/10.1016/j.crma.2004.02.011/ %R 10.1016/j.crma.2004.02.011 %G en %F CRMATH_2004__338_8_629_0
Diebolt, Jean; Guillou, Armelle; Rached, Imen. A new look at probability-weighted moments estimators. Comptes Rendus. Mathématique, Tome 338 (2004) no. 8, pp. 629-634. doi : 10.1016/j.crma.2004.02.011. http://www.numdam.org/articles/10.1016/j.crma.2004.02.011/
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