TL-Moments and L-Moments Estimation for the Generalized Pareto Distribution

Abstract

In this paper, the trimmed L-moments (TL-moments) and L-moments of the Generalized Pareto distribution (GPD) up to arbitrary order will be derived and used to obtain the first four TL-moments and L-moments. TL-skewness, L-skewness, TL-kurtosis and L-kurtosis are handled for the GPD. Using the first two TL-moments and L-moments, the unknown parameters for the GPD can be estimated. A numerical illustrate for the new results will be given.