極値分布の母数推定法の比較評価

• 宝, 馨

• 高棹, 琢馬

• 清水, 章

書誌事項

タイトル別名

• COMPARISON OF PARAMETER ESTIMATION METHODS FOR EXTREME VALUE DISTRIBUTIONS
• キョクチ ブンプ ノ ボスウ スイテイホウ ノ ヒカク ヒョウカ

抄録

This paper compares parameter estimation methods for the Gumbel distributionand the generalized extreme-value (GEV) distribution by using the Monte Carlosimulation technique with changing sample size N=10, 20, …, 1000.The methods considered for the Gumbel distribution are the methods ofmoments (MoM), maximum likelihood estimation (MLE), probability weightedmoments (PWM), least-squares (LS) with the Weibull or the Hazen plottingformula, and maximum entropy principle (PME). In terms of the root mean squareerror (RMSE) of the quantile estimates, the MLE is the best among these. ThePWM gives the least biased estimation, followed by the MoM, PME and MLE. Thedifference of these is small. For the GEV distribution, the MoM, MLE and PWM arecompared. In terms of both the RMSE and bias the PWM is the best.

収録刊行物

• 京都大学防災研究所年報. B

  京都大学防災研究所年報. B 32 (B-2), 455-469, 1989-04-01

  京都大学防災研究所

詳細情報

• CRID: 1050282677086895744
• NII論文ID: 120001178525
• NII論文ID: 20000417216
• NII書誌ID: AN00027784
• ISSN: 0386412X
• HANDLE: 2433/72204
• NDL書誌ID: 3649658
• Web Site: https://ndlsearch.ndl.go.jp/books/R000000004-I3649658
• 本文言語コード: ja
• 資料種別: departmental bulletin paper
• データソース種別:
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  • NDL
  • CiNii Articles