Record values from generalized Pareto distribution and associated inference |
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Authors: | Khalaf S Sultan Mohamed E Moshref |
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Institution: | (1) Department of Mathematics, Faculty of Science, Al-Azhar University, Nasr City, Cairo 11884, Egypt (e-mail: 0202_sultank@az2.azhar.eun.eg), EG |
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Abstract: | In this paper, we derive exact explicit expressions for the single, double, triple and quadruple moments of the upper record
values from a generalized Pareto distribution. We then use these expressions to compute the mean, variance, and the coefficients
of skewness and kurtosis of certain linear functions of record values. Finally, we develop approximate confidence intervals
for the location and scale parameters of the generalized Pareto distribution using the Edgeworth approximation and compare
them with the intervals constructed through Monte Carlo simulations.
Received: June 1999 |
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Keywords: | : Upper record values single moments double moments triple moments quadruple moments generalized Pareto distribution Edgeworth approximation coefficients of skewness and kurtosis approximate confidence interval pivotal quantity best linear unbiased estimates probability coverages |
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