TY - JOUR
T1 - Comparison of Different Methodologies of Parameter-Estimation from Extreme Values
AU - Ostrometzky, Jonatan
AU - Messer, Hagit
N1 - Publisher Copyright:
© 1994-2012 IEEE.
PY - 2017/9
Y1 - 2017/9
N2 - This letter deals with the case where parameter estimation is required, but only observations of extreme values (i.e., the minimum observed value and/or the maximum observed value per interval) are available. We describe the theoretical grounds of the three leading methodologies of estimation from extremes, discuss the relations between them, and analyze the tradeoffs of the different methodologies with respect to the performance (accuracy), complexity, and robustness of the estimates. We then demonstrate our evaluations via a specially designed simulation, which validates our results.
AB - This letter deals with the case where parameter estimation is required, but only observations of extreme values (i.e., the minimum observed value and/or the maximum observed value per interval) are available. We describe the theoretical grounds of the three leading methodologies of estimation from extremes, discuss the relations between them, and analyze the tradeoffs of the different methodologies with respect to the performance (accuracy), complexity, and robustness of the estimates. We then demonstrate our evaluations via a specially designed simulation, which validates our results.
KW - Extreme value theory
KW - maximum likelihood estimation
KW - parameter estimation
UR - http://www.scopus.com/inward/record.url?scp=85023196248&partnerID=8YFLogxK
U2 - 10.1109/LSP.2017.2723544
DO - 10.1109/LSP.2017.2723544
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AN - SCOPUS:85023196248
VL - 24
SP - 1293
EP - 1297
JO - IEEE Signal Processing Letters
JF - IEEE Signal Processing Letters
SN - 1070-9908
IS - 9
M1 - 7968300
ER -