Estimating the components of a mixture of extremal distributions under strong dependence
Resumen:
In this paper, we provide a method based on quantiles to estimate the parameters of a finite mixture of Fréchet distributions, for a large sample of strongly dependent data. This is a situation that appears when dealing with environmental data and there was a real need of such method. We validate our approach by means of estimation and goodness-of-fit testing over simulated data, showing an accurate performance.
| 2023 | |
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Mixture of extremal distributions Strongly dependent data |
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| Inglés | |
| Universidad de la República | |
| COLIBRI | |
| https://hdl.handle.net/20.500.12008/43359 | |
| Acceso abierto | |
| Licencia Creative Commons Atribución (CC - By 4.0) |
| Sumario: | In this paper, we provide a method based on quantiles to estimate the parameters of a finite mixture of Fréchet distributions, for a large sample of strongly dependent data. This is a situation that appears when dealing with environmental data and there was a real need of such method. We validate our approach by means of estimation and goodness-of-fit testing over simulated data, showing an accurate performance. |
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