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한국통계학회 논문집 = Communications of the Korean Statistical Society v.14 no.3, 2007년, pp.561 - 576   피인용횟수: 1
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On the Effects of Plotting Positions to the Probability Weighted Moments Method for the Generalized Logistic Distribution

Kim, Myung-Suk   (College of Business Administration, Sogang UniversityUU0000674  );
  • 초록

    Five plotting positions are applied to the computation of probability weighted moments (PWM) on the parameters of the generalized logistic distribution. Over a range of parameter values with some finite sample sizes, the effects of five plotting positions are investigated via Monte Carlo simulation studies. Our simulation results indicate that the Landwehr plotting position frequently tends to document smaller biases than others in the location and scale parameter estimations. On the other hand, the Weibull plotting position often tends to cause larger biases than others. The plotting position (i - 0.35)/n seems to report smaller root mean square errors (RMSE) than other plotting positions in the negative shape parameter estimation under small samples. In comparison to the maximum likelihood (ML) method under the small sample, the PWM do not seem to be better than the ML estimators in the location and scale parameter estimations documenting larger RMSE. However, the PWM outperform the ML estimators in the shape parameter estimation when its magnitude is near zero. Sensitivity of right tail quantile estimation regarding five plotting positions is also examined, but superiority or inferiority of any plotting position is not observed.


  • 주제어

    Generalized logistic distribution .   plotting position .   probability weighted moments .   quantile .   shape parameter.  

  • 참고문헌 (12)

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    4. Hosking, J. R. M., Wallis, J. R. and Wood, E. F. (1985). Estimation ofthe generalized extreme value distribution by the method of probability-weighted moments. Technometrics, 27, 251-261 
    5. Hosking, J. R. M. and Wallis, J. R. (1987). Parameter and quantile estimation for the generalized Pareto distribution. Technometrics, 29, 339-349 
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    7. Landwehr, J. M., Matalas, N. C. and Wallis, J. R. (1979b). Estimation of parameters and quantiles of Wakeby distributions. Water Resource Research, 15, 1361-1379 
    8. Prescott, P. and Walden, A. T. (1980). Maximum likelihood estimation of the parameters of the generalized extreme-value distribution. Biometrika, 67, 723-724 
    9. Hosking, J. R. M. (1990). L-moments: analysis and estimation of distributions using linear combinations of order statistics. Journal of the Royal Statistical Society, Ser. B, 52, 105-124 
    10. Gettinby, G. D., Sinclair, C. D., Power, D. M. and Brown, R. A. (2004). An analysis of the distribution of extreme share returns in the UK from 1975 to 2000. Journal of Business Fianance & Accounting, 31, 607-646 
    11. Jenkinson, A. F. (1955). The frequency distribution of the annual maximum (or minimum) values of meteorological elements. Quarterly Journal of the Royal Meteorological Society, 81, 158-171 
    12. Haktanir, T. and Bozduman, A. (1995). A study on sensitivity of the probability-weighted moments method on the choice of the plotting position formula. Journal of Hydrology, 168, 265-281 
  • 이 논문을 인용한 문헌 (1)

    1. Woo, Ji-Yong ; Kim, Myung-Suk 2009. "Comparison Study of Parameter Estimation Methods for Some Extreme Value Distributions (Focused on the Regression Method)" 한국통계학회 논문집 = Communications of the Korean Statistical Society, 16(3): 463~477     

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