• Water Engineering Research
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• v.4 no.3
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• pp.155-173
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• 2003

Parameters and quantiles of the 2-parameter generalized Pareto distribution were estimated using the methods of regular moments, modified moments, probability weighted moments, linear moments, maximum likelihood, and entropy for Monte Carlo-generated samples. The performance of these seven estimators was statistically compared, with the objective of identifying the most robust estimator. It was found that in general the methods of probability-weighted moments and L-moments performed better than the methods of maximum likelihood estimation, moments and entropy, especially for smaller values of the coefficient of variation and probability of exceedance.

• Communications for Statistical Applications and Methods
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• v.14 no.3
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• pp.561-576
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• 2007

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.

• Journal of the Korean Data and Information Science Society
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• v.26 no.2
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• pp.535-545
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• 2015

In a various range of applications including hydrology, the type-I extreme value distribution has been extensively used as a probabilistic model for analyzing extreme events. In this paper, we introduce methods for estimating the scale parameter of the type-I extreme value distribution. A simulation study is performed to compare the estimators in terms of mean-squared error and bias, and the obtained results are provided.

• Proceedings of the Korean Society of Agricultural Engineers Conference
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• 2003.10a
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• pp.511-514
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• 2003

This study was conducted to estimate the design rainfall by the determination of best fitting order for Higher Probability Weighted Moments of the annual maximum series according to consecutive duration at sixty-five rainfall stations in Korea. Design rainfalls were obtained by generalized extreme value distribution which was selected to be suitable distribution in 4 applied distributions and by L, L1, L2, L3 and L4-moment. The best fitting order for Higher Probability Weighted Moments was determined with the confidence analysis of estimated design rainfall.

• Communications for Statistical Applications and Methods
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• v.16 no.4
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• pp.647-658
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• 2009

It is already known from the previous study that flood seems to have heavier tail. Therefore, to make prediction of future extreme label, some agreement of tail behavior of extreme data is highly required. The LH-moments estimation method, the generalized form of L-moments is an useful method of characterizing the upper part of the distribution. LH-moments are based on linear combination of higher order statistics. In this study, we have formulated LH-moments of five distributions useful in hydrology such as, two types of three parameter kappa distributions, beta-${\kappa}$ distribution, beta-p distribution and a generalized Gumbel distribution. Using LH-moments reduces the undue influences that small sample may have on the estimation of large return period events.

• Magazine of the Korean Society of Agricultural Engineers
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• v.43 no.5
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• pp.70-82
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• 2001

This study was conducted to derive the regional design rainfall by the regional frequency analysis based on the regionalization of the precipitation suggested by the first report of this project. Using the L-moment ratios and Kolmogorov-Smirnov test, the underlying regional probability distribution was identified to be the Generalized extreme value distribution among applied distributions. Regional and at-site parameters of the generalized extreme value distribution were estimated by the linear combination of the probability weighted moments, L-moment. The regional and at-site analysis for the design rainfall were tested by Monte Carlo simulation. Relative root-mean-square error(RRMSE), relative bias(RBIAS) and relative reduction(RR) in RRMSE were computed and compared with those resulting from at-site Monte Carlo simulation. All show that the regional analysis procedure can substantially reduce the RRMSE, RBIAS and RR in RRMSE in the prediction of design rainfall. Consequently, optimal design rainfalls following the legions and consecutive durations were derived by the regional frequency analysis.

• Proceedings of the Korea Water Resources Association Conference
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• 2004.05b
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• pp.635-639
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• 2004

댐과 같은 구조물의 설계시 큰 강우량에 내한 분포함수의 적합성을 놀일 필요가 있다. 이에 대해 Wang (1997a and b)은 큰 설계량에 내한 적합성을 놀이기 위해 LH 모멘트와 고차 PWM(higher Probability Weighted Moments)방법을 제안하였다. 따라서 본 연구에서는 우리나라의 자 지역별로 대표적인 4개 지점의 일 강우량 자료를 사용하여 제안된 고차 PWM 방법의 적용성을 살펴보았다. 그 과정으로 가장 낮은 차수인 일반적인 PWM 방법과 더 높은 차수의 PWM 방법을 이용하여, GEV(Generalized Extreme Value) 분포와 Gumbel 분포에 대한 매개변수를 추정한 후 이 추정치를 확률지에 실측치와 함께 도시하여 결과를 비교하였다. 그리고 PPCC(Probability Plot Correlation Coefficient) 적합도 검정결과를 통해 추정된 매개변수의 적합성을 확인하였다.

• Communications for Statistical Applications and Methods
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• v.16 no.3
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• pp.463-477
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• 2009

Parameter estimation methods such as maximum likelihood estimation method, probability weighted moments method, regression method have been popularly applied to various extreme value models in numerous literature. Among three methods above, the performance of regression method has not been rigorously investigated yet. In this paper the regression method is compared with the other methods via Monte Carlo simulation studies for estimation of parameters of the Generalized Extreme Value(GEV) distribution and the Generalized Pareto(GP) distribution. Our simulation results indicate that the regression method tends to outperform other methods under small samples by providing smaller biases and root mean square errors for estimation of location parameter of the GEV model. For the scale parameter estimation of the GP model under small samples, the regression method tends to report smaller biases than the other methods. The regression method tends to be superior to other methods for the shape parameter estimation of the GEV model and GP model when the shape parameter is -0.4 under small and moderately large samples.

• Magazine of the Korean Society of Agricultural Engineers
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• v.44 no.5
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• pp.41-53
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• 2002

This study was conducted to derive the regional design rainfall by the regional frequency analysis based on the regionalization of the precipitation suggested by the first report of this project. According to the regions and consecutive durations, optimal design rainfalls were derived by the regional frequency analysis for L-moment in the second report of this project. Using the LH-moment ratios and Kolmogorov-Smirnov test, the optimal regional probability distribution was identified to be the Generalized extreme value (GEV) distribution among applied distributions. regional and at-site parameters of the GEV distribution were estimated by the linear combination of the higher probability weighted moments, LH-moment. Design rainfall using LH-moments following the consecutive duration were derived by the regional and at-site analysis using the observed and simulated data resulted from Monte Carlo techniques. Relative root-mean-square error (RRMSE), relative bias (RBIAS) and relative reduction (RR) in RRMSE for the design rainfall were computed and compared in the regional and at-site frequency analysis. Consequently, it was shown that the regional analysis can substantially more reduce the RRMSE, RBIAS and RR in RRMSE than at-site analysis in the prediction of design rainfall. Relative efficiency (RE) for an optimal order of L-moments was also computed by the methods of L, L1, L2, L3 and L4-moments for GEV distribution. It was found that the method of L-moments is more effective than the others for getting optimal design rainfall according to the regions and consecutive durations in the regional frequency analysis. Diagrams for the design rainfall derived by the regional frequency analysis using L-moments were drawn according to the regions and consecutive durations by GIS techniques.

• Korean Management Science Review
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• v.24 no.2
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• pp.115-126
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• 2007

Weekly minima of daily log returns of Korean composite stock price index 200 and its five industry-based business divisions over the period from January 1990 to December 2005 are fitted using two block-based extreme distributions: Generalized Extreme Value(GEV) and Generalized Logistic(GLO). Parameters are estimated using the probability weighted moments. Applicability of two distributions is investigated using the Monte Carlo simulation based empirical p-values of Anderson Darling test. Our empirical results indicate that both the GLO and GEV models seem to be comparably applicable to the weekly minima. These findings are against the evidences in Gettinby et al.[7], who claimed that the GEV model was not valid in many cases, and supported the significant superiority of the GLO model.