The generalized extreme value distribution (GEVD) has been widely used to model the extreme events in many areas. It is however limited to using only block maxima, which motivated to model the GEVD dealing with r-largest order statistics (rGEVD). The rGEVD which uses more than one extreme per block can significantly improves the performance of the GEVD. The four parameter kappa distribution (K4D) is a generalization of some three-parameter distributions including the GEVD. It can be useful in fitting data when three parameters in the GEVD are not sufficient to capture the variability of the extreme observations. The K4D still uses only block maxima. In this study, we thus extend the K4D to deal with r-largest order statistics as analogy as the GEVD is extended to the rGEVD. The new distribution is called the r-largest four parameter kappa distribution (rK4D). We derive a joint probability density function (PDF) of the rK4D, and the marginal and conditional cumulative distribution functions and PDFs. The maximum likelihood method is considered to estimate parameters. The usefulness and some practical concerns of the rK4D are illustrated by applying it to Venice sea-level data. This example study shows that the rK4D gives better fit but larger variances of the parameter estimates than the rGEVD. Some new $r$-largest distributions are derived as special cases of the rK4D, such as the $r$-largest logistic (rLD), generalized logistic (rGLD), and generalized Gumbel distributions (rGGD).
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The r-largest four parameter kappa distribution
Published:
22 June 2021
by MDPI
in The 4th International Electronic Conference on Atmospheric Sciences
session Climatology
https://doi.org/10.3390/ecas2021-10354
(registering DOI)
Abstract:
Keywords: Annual maximum sea level; Bias-variance trade-off; Delta method; Hydrology; Return level; Variance estimation
Comments on this paper
Anthony Lupo
28 July 2021
PDF - powerpoint
This poster is well done. I will show the K4D to a colleague who is looking at extreme value probabilities.
Yire Shin
29 July 2021
Thank you for your attention to this research.