A data-adaptive maximum penalized likelihood estimation for the generalized extreme value distribution
자연과학 > 통계학
( Youngsaeng Lee ) , ( Yonggwan Shin ) , ( Jeong-soo Park )
CSAM(Communications for Statistical Applications and Methods) 2017년, 제24권 제5호, 493~505쪽(총13쪽)
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    Maximum likelihood estimation (MLE) of the generalized extreme value distribution (GEVD) is known to sometimes over-estimate the positive value of the shape parameter for the small sample size. The maximum penalized likelihood estimation (MPLE) with Beta penalty function was proposed by some researchers to overcome this problem. But the determination of the hyperparameters (HP) in Beta penalty function is still an issue. This paper presents some data adaptive methods to select the HP of Beta penalty function in the MPLE framework. The idea is to let the data tell us what HP to use. For given data, the optimal HP is obtained from the minimum distance between the MLE and MPLE. A bootstrap-based method is also proposed. These methods are compared with existing approaches. The performance evaluation experiments for GEVD by Monte Carlo simulation show that the proposed methods work well for bias and mean squared error. The methods are applied to Blackstone river data and Korean heavy rainfall data to show better performance over MLE, the method of L-moments estimator, and existing MPLEs.
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