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Showing 1 to 5 of 5 for “"L-moments"”.
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Performance of bootstrap confidence intervals for L-moments and ratios of L-moments.
<p>L-moments are defined as linear combinations of expected values of order statistics of a variable.(Hosking 1990) L-moments are estimated from samples using functions of weighted means of order statistics. The advantages of L-moments over classical moments are: able to characterize a wider range …
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Portfolio selection using Random Matrix theory and L-Moments
… covariance matrices. The second approach uses L-moments, rather than conventional sample moments, to estimate the covariance and correlation matrices. L-moment estimates are more robust to outliers than conventional sample moments, in particular, when sample sizes are small. We use L-moments in …
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Simulating Univariate and Multivariate Burr Type III and Type XII Distributions Through the Method of L-Moments
… Type XII distributions through the method of L-moments is introduced. Specifically, systems of equations are derived for determining the shape parameters associated with user specified L-moment ratios (e.g., L-Skew and L-Kurtosis). A procedure is also developed for the purpose of generating …
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Future changes in extreme rainfall events and circulation patterns over southern Africa
… is fitted to annual maxima precipitation by a L-moments method. The 20-year return values are analyzed for present and future climate conditions. The physical drivers of the projected change are evaluated by examining the models ability to simulate circulation patterns over the regions with the …
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Essays in Financial Economics and Econometrics
… estimator based on a generalized method of L-moments and develop a full inferential theory. In doing so, we contribute to the statistical literature by extending a numerical bootstrap method to high-dimensional settings. As a direct application of our theory, we provide the first inference …