All Questions
8 questions
5
votes
1
answer
216
views
In a sum of high-variance lognormals, what fraction comes from the first term?
If $X_i \overset{\textrm{iid}}{\sim} \text{Lognormal}(0, \sigma^2)$ for $i=1,\ldots,n$ and $Y_1 = X_1 / \sum_{j=1}^n X_j$, then I would expect that a particular* limiting distribution of $Y_1$, ...
- 195
1
vote
1
answer
87
views
How do you determine an appropriate block length for calculating "block maxima" for GEV distribution?
I have some time series data spanning 30+ years and I am trying to do some extreme value analysis. Major disclaimer: I am not a statistician so I feel that I am wading into waters beyond my area of ...
- 925
3
votes
1
answer
73
views
Does this approach to simulation for survival analysis, of breaking the analysis into deaths versus survivors, appear reasonable?
I've spent last several weeks learning about survival analysis, see one of the last posts at How to simulate variability (errors) in fitting a gamma model to survival data by using a generalized ...
- 827
0
votes
1
answer
84
views
How can i find out closest lognormal distribution parameters from a GEV distributed data in R
The question is a bit weird so i'll open it up.
So i have a table of return periods for different amounts of rain. The table has been made using GEV distribution on known data and then the mean and ...
1
vote
0
answers
371
views
Statistics of Extremes: Fitting the GEV distribution with MLE vs L-moments
I created a synthetic series that is supposed to simulate a series of peak discharges in blocks of years in arid catchments. The magnitudes were simulated via the Lnorm dist.:
...
- 123
4
votes
2
answers
165
views
Need handy formula for $Var[\max(V, K)]$
In Appendix 12A, p. 262 of this book, the author Hull derives a handy, tractable formula for the expression $E[\max(V-K, 0)]$, where $V$ is a lognormally distributed random variable and $K$ is a ...
- 515
2
votes
1
answer
350
views
Expectation of two identical lognormal distributions
I would like to compute the conditional expectation (on an interval from $c$ to $\infty$) of the minimum of two log normal distributions.
Denote $X_1$, $X_2 \sim LN(0, \sigma)$, the associated ...
- 229
10
votes
1
answer
2k
views
Extreme Value Theory: Lognormal GEV parameters
Lognormal distribution belongs to the Gumbel maximum domain of attraction, where:
$F^{logN}(x; \mu,\sigma)=\Phi\left(\frac{\ln x - \mu}{\sigma}\right)$,
$F^{Gum}(x;\mu,\beta) = e^{-\exp\left({-\frac{...
- 1,271