How to choose an optimal threshold is a key problem in the generalized Pareto distribution （GPD） model. This paper attains the exact threshold by testing for GPD,and shows that GPD model allows the actuary to easily...How to choose an optimal threshold is a key problem in the generalized Pareto distribution （GPD） model. This paper attains the exact threshold by testing for GPD,and shows that GPD model allows the actuary to easily estimate high quantiles and the probable maximum loss from the medical insurance claims data.展开更多
The generalized Pareto distribution model is a kind of hydrocarbon pool size probability statistical method for resource assessment. By introducing the time variable, resource conversion rate and the geological variab...The generalized Pareto distribution model is a kind of hydrocarbon pool size probability statistical method for resource assessment. By introducing the time variable, resource conversion rate and the geological variable, resource density, such model can describe not only different types of basins, but also any exploration samples at different phases of exploration, up to the parent population. It is a dynamic distribution model with profound geological significance and wide applicability. Its basic principle and the process of resource assessment are described in this paper. The petroleum accumulation system is an appropriate assessment unit for such method. The hydrocarbon resource structure of the Huanghua Depression in Bohai Bay Basin was predicted by using this model. The prediction results accord with the knowledge of exploration in the Huanghua Depression, and point out the remaining resources potential and structure of different petroleum accumulation systems, which are of great significance for guiding future exploration in the Huanghua Depression.展开更多
In this paper, based on a new type of censoring scheme called an adaptive type-II progressive censoring scheme introduce by Ng et al. [1], Naval Research Logistics is considered. Based on this type of censoring the ma...In this paper, based on a new type of censoring scheme called an adaptive type-II progressive censoring scheme introduce by Ng et al. [1], Naval Research Logistics is considered. Based on this type of censoring the maximum likelihood estimation (MLE), Bayes estimation, and parametric bootstrap method are used for estimating the unknown parameters. Also, we propose to apply Markov chain Monte Carlo (MCMC) technique to carry out a Bayesian estimation procedure and in turn calculate the credible intervals. Point estimation and confidence intervals based on maximum likelihood and bootstrap method are also proposed. The approximate Bayes estimators obtained under the assumptions of non-informative priors, are compared with the maximum likelihood estimators. Numerical examples using real data set are presented to illustrate the methods of inference developed here. Finally, the maximum likelihood, bootstrap and the different Bayes estimates are compared via a Monte Carlo simulation study.展开更多
This paper proposes a new methodology to select an optimal threshold level to be used in the peak over threshold （POT） method for the prediction of short-term distributions of load extremes of offshore wind turbines...This paper proposes a new methodology to select an optimal threshold level to be used in the peak over threshold （POT） method for the prediction of short-term distributions of load extremes of offshore wind turbines. Such an optimal threshold level is found based on the estimation of the variance-to-mean ratio for the occurrence of peak values, which characterizes the Poisson assumption. A generalized Pareto distribution is then fitted to the extracted peaks over the optimal threshold level and the distribution parameters are estimated by the method of the maximum spacing estimation. This methodology is applied to estimate the short-term distributions of load extremes of the blade bending moment and the tower base bending moment at the mudline of a monopile-supported 5MW offshore wind turbine as an example. The accuracy of the POT method using the optimal threshold level is shown to be better, in terms of the distribution fitting, than that of the POT methods using empirical threshold levels. The comparisons among the short-term extreme response values predicted by using the POT method with the optimal threshold levels and with the empirical threshold levels and by using direct simulation results further substantiate the validity of the proposed new methodology.展开更多
In this paper, we proposed a new efficient approach to construct confidence intervals for the location and scale parameters of the generalized Pareto distribution(GPD) when the shape parameter is known. The superiorit...In this paper, we proposed a new efficient approach to construct confidence intervals for the location and scale parameters of the generalized Pareto distribution(GPD) when the shape parameter is known. The superiority of our method is that the distributions of pivots are exact, but not approximate distributions. The proposed interval estimation provides the shortest interval for the GPD parameter whether or not the confident distribution of the pivot is symmetric. We first estimate the location and scale parameters of the GPD using least squares and then, construct confidence intervals based on the equal probability density principle. The results of various simulation studies illustrate that our interval estimators show the better performance than competing method.展开更多
文摘How to choose an optimal threshold is a key problem in the generalized Pareto distribution （GPD） model. This paper attains the exact threshold by testing for GPD,and shows that GPD model allows the actuary to easily estimate high quantiles and the probable maximum loss from the medical insurance claims data.
文摘The generalized Pareto distribution model is a kind of hydrocarbon pool size probability statistical method for resource assessment. By introducing the time variable, resource conversion rate and the geological variable, resource density, such model can describe not only different types of basins, but also any exploration samples at different phases of exploration, up to the parent population. It is a dynamic distribution model with profound geological significance and wide applicability. Its basic principle and the process of resource assessment are described in this paper. The petroleum accumulation system is an appropriate assessment unit for such method. The hydrocarbon resource structure of the Huanghua Depression in Bohai Bay Basin was predicted by using this model. The prediction results accord with the knowledge of exploration in the Huanghua Depression, and point out the remaining resources potential and structure of different petroleum accumulation systems, which are of great significance for guiding future exploration in the Huanghua Depression.
文摘In this paper, based on a new type of censoring scheme called an adaptive type-II progressive censoring scheme introduce by Ng et al. [1], Naval Research Logistics is considered. Based on this type of censoring the maximum likelihood estimation (MLE), Bayes estimation, and parametric bootstrap method are used for estimating the unknown parameters. Also, we propose to apply Markov chain Monte Carlo (MCMC) technique to carry out a Bayesian estimation procedure and in turn calculate the credible intervals. Point estimation and confidence intervals based on maximum likelihood and bootstrap method are also proposed. The approximate Bayes estimators obtained under the assumptions of non-informative priors, are compared with the maximum likelihood estimators. Numerical examples using real data set are presented to illustrate the methods of inference developed here. Finally, the maximum likelihood, bootstrap and the different Bayes estimates are compared via a Monte Carlo simulation study.
基金supported by the funding of an independent research project from the Chinese State Key Laboratory of Ocean Engineering(Grant No.GKZD010038)
文摘This paper proposes a new methodology to select an optimal threshold level to be used in the peak over threshold （POT） method for the prediction of short-term distributions of load extremes of offshore wind turbines. Such an optimal threshold level is found based on the estimation of the variance-to-mean ratio for the occurrence of peak values, which characterizes the Poisson assumption. A generalized Pareto distribution is then fitted to the extracted peaks over the optimal threshold level and the distribution parameters are estimated by the method of the maximum spacing estimation. This methodology is applied to estimate the short-term distributions of load extremes of the blade bending moment and the tower base bending moment at the mudline of a monopile-supported 5MW offshore wind turbine as an example. The accuracy of the POT method using the optimal threshold level is shown to be better, in terms of the distribution fitting, than that of the POT methods using empirical threshold levels. The comparisons among the short-term extreme response values predicted by using the POT method with the optimal threshold levels and with the empirical threshold levels and by using direct simulation results further substantiate the validity of the proposed new methodology.
基金Supported by the National Natural Science Foundation of China(No.11801019)
文摘In this paper, we proposed a new efficient approach to construct confidence intervals for the location and scale parameters of the generalized Pareto distribution(GPD) when the shape parameter is known. The superiority of our method is that the distributions of pivots are exact, but not approximate distributions. The proposed interval estimation provides the shortest interval for the GPD parameter whether or not the confident distribution of the pivot is symmetric. We first estimate the location and scale parameters of the GPD using least squares and then, construct confidence intervals based on the equal probability density principle. The results of various simulation studies illustrate that our interval estimators show the better performance than competing method.
