A non-parametric method for the estimation of a GPD parameter based on wavelet theory

  • Authors:

  • Vincenzo Niola;Rosario Oliviero;Giuseppe Quaremba

  • Affiliations:

  • Department of Mechanical Engineering for Energetics, University of Naples "Federico II", Napoli, Italy;University of Naples "Federico II", Napoli, Italy;University of Naples "Federico II", Napoli, Italy

  • Venue:
  • ICCOMP'05 Proceedings of the 9th WSEAS International Conference on Computers
  • Year:
  • 2005

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Abstract

In this paper, we propose a technique for estimating the threshold of an empirical failure distribution, having supposed that excesses over the threshold follow a Generalised Pareto Distribution. Our method is substantially based on the estimates of the sampling mean excess, performed by a kernel function. Furthermore, we provide some examples on the application of the method with a small data set.