American Society for Quality

Estimation of the Generalized Extreme-Value Distribution by the Method of ProbabilityWeighted Moments

Author(s): J. R. M. Hosking, J. R. Wallis and E. F. Wood
Reviewed work(s):
Source: Technometrics, Vol. 27, No. 3 (Aug., 1985), pp. 251-261
Published by: American Statistical Association and American Society for Quality
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TECHNOMETRICS,AUGUST 1985, VOL. 27, NO. 3

? 1985 AmericanStatisticalAssociation and

the AmericanSociety forQualityControl

Estimation
ofthe GeneralizedExtremeValue Distribution
bythe Methodof
Probability-Weighted
Moments
J. R. M. Hosking

J. R. Wallis

Institute
of Hydrology
Oxon OX10 8BB
Wallingford,
England

IBM ResearchCenter
Yorktown
Heights,NY 10598

E. F. Wood
of CivilEngineering
Department
Princeton
University
NJ08540
Princeton,

We use the methodof probability-weighted

momentsto deriveestimatorsof the parameters
and quantilesof the generalizedextreme-value
distribution.
We investigatethe propertiesof
theseestimatorsin large samples,via asymptotictheory,and in small and moderatesamples,
via computersimulation.Probability-weighted
momentestimatorshave low varianceand no
severebias, and theycompare favorablywithestimatorsobtained by the methodsof maximum likelihoodor sextiles.The methodof probability-weighted
momentsalso yieldsa convenientand powerfultestof whetheran extreme-value
distribution
is of Fisher-Tippett
Type I,
II, or III.
KEY WORDS: Generalizedextreme-value
distribution;Hypothesistesting;Order statistics;
moments.
Probability-weighted

1.

INTRODUCTION

case of the generalizedextreme-value

is
distribution,
of particularinterest.Landwehret al. (1979) investigated the small-samplepropertiesof probabilityweightedmoment(PWM) estimatorsof parameters
and quantilesfortheGumbeldistribution
and found
themsuperiorin many respectsto the conventional
moment and maximum-likelihood
estimators.The
estimatorsused by Landwehret al. (1979) are identical to Downton's(1966b) linearestimateswithlinear
and thussharethe asymptoticproperties
coefficients,
of the latter;in particular,theasymptoticefficiencies
of the PWM estimatorsof the Gumbel scale and
locationparametersare .756and .996,respectively.
In this article we summarize some theory for
momentsand show that they
probability-weighted
can be used to obtain estimatesof parametersand
quantiles of the generalized extreme-valuedistribution. We derive the asymptoticdistributionsof
theseestimatorsand compare,via computersimulation,the small-samplepropertiesof the PWM, sextile, and maximum-likelihoodestimators. The
method of probability-weightedmoments outperformsthe othermethodsin many cases and will
to them.We also derive,from
usually be preferred
the PWM estimatorof the shape parameterof the
generalized extreme-valuedistribution,a test of
whetherthisshape parameteris zero, and we assess
theperformance
ofthistestby computersimulation.

The generalized extreme-valuedistributionof

Jenkinson(1955) is widely used for modeling extremesof naturalphenomena,and it is of considerable importancein hydrology,since it was recommendedby the Flood StudiesReport[Natural EnvironmentResearchCouncil (NERC) 1975a] formodeling the distributionof annual maxima of daily
streamflows
of Britishrivers.Currently
favoredmethods of estimationof the parametersand quantilesof
thedistribution
are Jenkinson's
(1969) methodofsextilesand themethodofmaximumlikelihood(Jenkinson 1969; Prescottand Walden 1980, 1983).Neither
method is completelysatisfactory:
The justification
of the maximum-likelihood
approach is based on
large-sampletheory,and therehas been littleassessmentof theperformance
of themethodwhenapplied
to small or moderate samples; whereas the sextile
methodinvolvesan inherentarbitrariness
(whysextiles ratherthan,say, quartilesor octiles?),requires
interpolationin a table of values of a functionin
order to estimatethe shape parameterof the distribution, and has statisticalpropertiesthat are not
knownevenforlargesamples.
Probability-weighted
moments,a generalizationof
theusual momentsofa probabilitydistribution,
were
introducedby Greenwood et al. (1979). There are
several distributions-for example, the Gumbel,
2. PROBABILITY-WEIGHTED MOMENTS
logistic,and Weibull-whose parameterscan be convenientlyestimatedfromtheirprobability-weighted
The probability-weighted
momentsof a random
moments.The Gumbel distribution,
being a special
variable X with distribution function F(x) =
251

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J. R. M. HOSKING,J. R. WALLIS,AND E. F. WOOD

252
P(X < x) are thequantities

Mp,r,s= E[XP{F(X)}'{1

- F(X)}S],

(1)

where p, r, and s are real numbers.Probabilityweightedmomentsare likelyto be most usefulwhen

the inversedistribution
functionx(F) can be written
in closed form,forthenwe maywrite
Mp,r,s =

{x(F)}PFr(l - F)s dF,

(2)

and this is oftenthe most convenientway of evaluatingthesemoments.The quantitiesMpo0 (p = 1, 2,

...) are the usual noncentralmomentsof X. The moments Ml,., may, however,be preferablefor estiof X, since
matingthe parametersof the distribution
the occurrenceof only the firstpower of X in the
expressionforMl.r,s means thatthe relationshipbetweenparametersand momentsoftentakesa simpler
formin this case than when using the conventional
moments.When r and s are integers,F'(1 - F)s may
be expressedas a linearcombinationofeitherpowers
of F or powersof (1 - F), so it is naturalto summarize a distributioneither by the moments Ml.r0o
(r = 0, 1, 2, ...) or by Mlo,0 (s= 0, 1, 2, ...). Greenwood et al. (1979) generallyfavoredthe latterapproach,but herewe willconsiderthemomentsfr=
Ml,,.o = E[X{F(X)}r]

(r = 0, 1, 2, ...).

Given a random sample of size n fromthe distributionF, estimationof f, is mostconveniently

based
on the orderedsample xl < x2 <
< x". The statistic
br= n-1,

(j- 1)(j-2)...
=l (n- lXn-2)

(-r)
(n-r)xi

(3)

is an unbiasedestimatorof /, (Landwehret al. 1979).

Insteadone mayestimatef/,by
[Pn]

n-

n
j=l

,n

(4)

where pj,n is a plotting position-that is, a

distribution-freeestimate of F(xj). Reasonable
choices of pj,,, such as pj, = (j - a)/n,0 < a < 1, or
pj, = ( j-a)/(n+ 1 -2a), - < a < 1, yield estimators l,[pj,p],whichare asymptotically
equivalent
to brand, therefore,
consistentestimatorsoffr.
The estimatorsb, are closelyrelatedto U-statistics
(Hoeffding1948),whichare averagesof statisticscalculated fromall subsamplesof size j < n of a given
sample of size n. In particular,bo = n-l
xj is a
trivialexample of a U-statistic,and it is a natural
estimatoroflocationofa distribution;
2bl -bo-U

= i

)-l

E(i-x)
i>j

(5)

is a U-statistic for estimating the scale of a

distribution-thestatisticU2, sometimesknown as

Gini's mean difference,

has a historygoing back at
least as faras van Andrae(1872), and ?x/lr U2 is a
98% efficient
estimatorof the scale parameterof a
Normaldistribution
(Downton 1966a); and
6b2-6b

+ bo =U3

= 1(3)l

i>j>k

+x)

(xi-2xj

(6)
is a U-statisticfor estimatingskewness,which has
been used as the basis of a test for Normalityby
Locke and Spurrier(1976). U-statisticsare widely
used in nonparametric
statistics(e.g.,see Fraser 1957,
chap. 4, and Randles and Wolfe 1979,chap. 3), and
theirdesirablepropertiesof robustnessto outliersin
thesample,highefficiency,
and asymptoticnormality
may be expected to extend to the probabilityweightedmomentestimatorsbrand otherquantities
calculatedfromthem.
3. PWM ESTIMATORS FOR THE
GENERALIZED EXTREME-VALUE
DISTRIBUTION
The generalizedextreme-value
(GEV) distribution,
introducedby Jenkinson(1955), combines into a
singleformthe threepossibletypesof limitingdistributionforextremevalues,as derivedby Fisher and
function
Tippett(1928).The distribution
is
F(x)= exp [-1

- k(x -)/}k]

= exp [- exp {-(x -/a}],

0,

k=0,

(7)

withx bounded by ? + a/kfromabove ifk > 0 and

frombelow if k < 0. Here ~ and a are location and
scale parameters,
and theshape paramerespectively,
ter k determineswhichextreme-value
distribution
is
represented:
Fisher-Tippett
TypesI, II, and III correWhen
spond to k = 0, k < 0, and k > 0, respectively.
k = 0 the GEV distributionreducesto the Gumbel
distribution.
The inversedistribution
function
is
x(F) = ~ + a{1-(-log
=

-a

log (-log

F)k}/k, k #0
F),

k = 0.

(8)

In practicethe shape parameterusually lies in the

range - < k < ?. For example,the data base used
in NERC (1975a) included 32 annual flood series
withsample sizes of 30 or more.GEV distributions
were fittedto these 32 samples by the method of
maximumlikelihood:The estimatedshape parameter
rangedfrom-.32 to .48.
The probability-weighted
momentsof the GEV
distribution
fork - 0 are givenby
fr = (r + 1)-1[ + a{l - (r +

1)-kr(l

+ k)}/k],

k > -1

(9)

(forproof,see AppendixA). When k < -1, flo(the

mean ofthedistribution)
and therestofthefr,do not

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253

ESTIMATIONOF GENERALIZEDEV DISTRIBUTION

exist.From (9) we have
+ a{l - r( + k)}/k,
2i1 -/ 0o= aF(1 + k)(l - 2-)/k,
io0=

(10)
(11)

and
(3#2 - fo)/(2# - fo) = (1 - 3 -k)/(1- 2 -).

(12)

The PWM estimatorsf, a, I of the parametersare

the solutionsof (10)-H12)for a,a, and k whenthe fr,
are replaced by theirestimatorsb, or f/r[Pj,n].To
obtaink we mustsolvetheequation
(3b2 - bo)/(2b1- bo) = (1 - 3 -')/(1 - 2-k). (13)
The exact solution requiresiterativemethods,but
because the function (1 - 3-k)/(1 - 2-k) is almost
linear over the range of values of k (- 1 < k < 2),

which is usually encounteredin practice,low-order

polynomialapproximationsfork are veryaccurate.
We proposetheapproximateestimator
k = 7.8590c+ 2.9554c2,

2b -bo
3b2 - bo

log 2
log 3'

theerrorin k due to using(14) ratherthan(13) is less

than .0009 throughoutthe range - < k < ?. Given
k,thescale and locationparameterscan be estimated
successivelyfromEquations(11) and (10) as
(2b,

a = r(o1

bo)k
k)(
-{(1

+ {(

+ k1
k)-}/k.
(15)

Equations (13) and (15), or theirequivalentforms

with br replaced by /r[P,n],definethe PWM estimators of the parametersof the GEV distribution.
Given the estimatedparameters,the quantilesof the
distributionare estimatedusing the inversedistributionfunction(8).
When calculated using br as the estimatorof fir,
the PWM estimatesof theGEV distribution
satisfya
feasibilitycriterion,namelythat k > -1 and a > 0
almost surely(for proof,see Appendix B). This is
sinceone would likeesticlearlya desirableproperty,
mates calculated using a set of sample momentsto
yield an estimateddistributionforwhichthe corresponding population momentsexist. We have not
been able to prove that this feasibilitycriterionis
satisfiedwhen plotting-position
estimators/r[Pj,n]
are used, but no examplesof the criterionnot being
satisfiedhave been discoveredin practice.
4.

ASYMPTOTIC DISTRIBUTION OF
PWM ESTIMATORS

When modeling the propertiesof extremesof

physicalprocesses,it rarelyoccurs thatthe available

data set is large enough to ensure that asymptotic

large-sampletheorymay be directlyapplied to the
problem.It is nonethelessvaluable to investigatethe
asymptoticpropertiesof a new statisticaltechnique,
for two main reasons. First, one may seek to establish the integrityof the technique,in the sense
that when a large sample is available, the new
methodshouldnot be grosslyinefficient
comparedto
an established,asymptotically
optimalmethodsuch
as maximumlikelihood.Second, asymptotictheory
may provide an adequate approximationto some
of a statisticeven in quite
aspect of the distribution
small samples.In the presentcase we shall see that
the varianceof PWM estimatorsof parametersand
quantiles of the GEV distributionis well approximatedby asymptotictheoryforsamplesizes of 50 or
larger.
We considerfirsttheasymptotic
distribution
ofthe
br. From (3), bris a linearcombinationof the order
statisticsxl, ..., xn,and theresultsof Chernoff
et al.
(1967) may be used to prove that the vectorb = (bo
a multivariate
Normaldisblb2)bhas asymptotically
tribution with mean / = (O fllf2)T and covariance
matrixn- V. The elementsof V and details of the
proofare givenin AppendixC.
The asymptoticdistributionof the PWM estimatorsof the GEV parametersfollowsfromthe pre-

ceding result. Let 0 = (ock)T, 0 = (ak)T,

and write

(13) and (15) as the vectorequation 0 =f(b). Define

the 3 x 3 matrix G = (gij) by gij = fil/bj. Then
0 has a multivariateNormal distriasymptotically,
bution with mean f(/f)= 0 and covariance matrix
n-lGVGT (Rao 1973,p. 388). The covariancematrix
has theform
n- GVGT =n-

W12

3
(Xwl3

2W212 a2W22

caW23

0C2Wil

\ awI3

aw23

(16)

W33

The wij are functionsof k and have a complicated

algebraic form,but theycan be evaluated numericallyand are givenin Table 1 forseveralvalues of k.
As k approaches - ?, thevarianceof theGEV distribution becomes infiniteand the variancesof the br
and of the PWM parameterestimatorsare no longer
ofordern- asymptotically.
The asymptoticbiases of the estimatorsare of
ordern- 1 and can be evaluatedby methodssimilar
to thoseof Rao (1973,p. 388). The biases,graphedin
Figure 1, are negligiblein large samples provided
thatk > -.4.
For comparison, asymptotic biases of the
maximum-likelihood
estimatorsof the parametersof
theGEV distribution
are graphedin Figure2. These
biases were calculated using equation 3.12 of Shenton and Bowman (1977) and are functionsof expected values of third derivatives of the logTECHNOMETRICS,AUGUST 1985, VOL. 27, NO. 3

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J. R. M. HOSKING,J. R. WALLIS,AND E. F. WOOD

254

Table 1. Elementsof theAsymptoticCovariance Matrixof the

PWM Estimatorsof the Parametersof the GEV Distribution
wl3 w

w1l

w12

-.4
-.3
-.2
-.1
.0
.1
.2
.3
.4

1.6637
1.4153
1.3322
1.2915
1.2686
1.2551
1.2474
1.2438
1.2433

1.3355
.8912
.6727
.5104
.3704
.2411
.1177
-.0023
-.1205

1.1405
.5640
.3926
.3245
.2992
.2966
.3081
.3297
.3592

33

1.1628
.4442
.2697
.2240
.2247
.2447
.2728
.3033
.3329

1.8461
1.2574
1.0013
.8440
.7390
.6708
.6330
.6223
.6368

98-

w23 w

22

10 -

2.9092
1.4090
.9139
.6815
.5633
.5103
.5021
.5294
.5880

76c

5-

x
u1)

4-

GD

3-

21 0
-1 -

-2

II
-0.5

PWM-Probability-weightedmoment;GEV-Generalized extremevalue.

NOTE:

-0.4

I
I

-0.3

-0.2

II

-0.1
0.0
0.1
0.2
Shape parameter k

0.3

0.4

0.5

Figure2. AsymptoticBias of ML Estimatorsof Parametersof

likelihoodfunction.For k ?> theseexpectationsdo
the GEV Distribution:
;- - - c; ----- .
not exist and the biases of the maximum-likelihood
estimatorsare not ofordern- asymptotically.
The asymptoticvariances of the estimatorsare
characteristics
of PWM quantile estimators,which
graphedin Figure3, and theirasymptoticefficiencies
are (a) highpositivebias in extremeupper tail,arisin Figure 4. Asymptoticefficiency
is definedas the
ingfrompositivebias in k; (b) highvariancein upper
ratio
tail when k < 0; and (c) fairor highefficiency
except
eff(0i) = lim (var Oi/varOi)
when k is close to +.5. The maximum-likelihood
quantile estimatorshave lower variance than the
foreach elementOiof the parametervector0, where
PWM estimatorsbut have some verylarge biases,
estimatorof 0i. Overall
0i is themaximum-likelihood
particularlyin the extremeupper tail of the distriis the ratio of the determinantsof the
efficiency
bution.
asymptoticcovariancematricesof 6 and 0. The overThe resultsof thissectionwere derivedforPWM
all efficiency
of the PWM estimatorstendsto zero at
estimatorsthatuse br to estimate/r. If the plottingk = +.5, but forvalues ofk not too farfromzero the
position estimates [r[pPj,n]are used instead, the
PWM method is reasonably efficient.
Within the
asymptoticvariances and efficienciesremain unrange -.2 < k < .2, whichis valid formany hydroand
changed,but the asymptoticbiases are different
logicaldata sets,each PWM parameterestimatorhas
cannot be easily calculated,being affectedby the
ofmorethan.7.
efficiency
biases in the/r.[pj,n]
themselves.
Correspondingresultsmay be obtainedforPWM
5. SMALL-SAMPLE PROPERTIES OF
and maximum-likelihood
estimatorsof quantiles of
ESTIMATES
OF THE GEV DISTRIBUTION
theGEV distribution.
These are not presentedin full,
but Tables 2 and 3 give resultsforvariousquantiles
A computersimulationexperimentwas run to
when k = -.2 and for various values of k at the
comparethreemethodsof estimationof theparameF = .98 quantile. The tables illustratethe main
3 -

10 98-

76c
x

U)
u

4-

3-

5-

2 -

a)
U

.C

,\,-------------------------

1-

21 0
-1 -2

-0.5

-0.4

j1

II

-0.3

II

-0.2

II

II

II

I.

-0.1
0.0
0.1
0.2
Shape parameter k

I .

0.3

0.4

0.5

Figure 1. AsymptoticBias of PWM Estimatorsof Parameters

of the GEV Distribution:
k:- - - E; ----- e.

n
u

"

-0.5

-0.4

-0.3

-0.2

1I

-0.1
Shape

0.2
0.0
0.1
parameter k

0.3

0.4

0.5

Figure3. AsymptoticVarianceof PWM Estimatorsof Parametersof the GEV Distribution:

----- .
; --;

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255

ESTIMATION OF GENERALIZED EV DISTRIBUTION

1.0 -

Table 3. AsymptoticBias, Variance,and Efficiency

of the PWM and ML Estimatorsof the F = .98
Quantileof the GEV Distribution,and
the Efficiency
of the PWM Estimators
O, a = 1 )
(parameters = 0

0.8 -

7
> 0.6 c
._
' 0.4 -

,1/

n x Bias

0.2 -

0.0
-0.5

I
-0.4

I
-0.3

I
-0.2

I
I
I
I
-0.1
0.2
0.0
0.1
Shape parameter k

I
0.3

I
0.4

I
0.5

Figure 4. AsymptoticEfficiencyof PWM Estimatorsof Pa----rametersof the GEV Distribution:

k; - f;
...... overall efficiency(i.e., ratio of determinantsof asymptoticcovariance matricesof ML and PWM estimators).

tersand quantilesof the GEV distribution.

Simulationswereperformed
forsample sizes n = 15, 25, 50,
100 with the shape parameterof the distribution
takingvalues k = -.4, -.2, .0, .2, .4. All themethods
of estimationare invariantunderlineartransformations of the data, so withoutloss of generalitythe
location and scale parameters~ = 0 and a = 1 were
used throughout.For each combinationof values of
n and k, 10,000randomsamplesweregeneratedfrom
the GEV distribution,
and foreach sample the parameters~, a, and k, and the quantilesx(F), where
F = .001, .01, .1, .2, .5, .8, .9, .98, .99, .998, .999,were
estimatedby each of threemethods:(a) the method
of probability-weighted
moments(PWM), described
before;(b) themethodof maximumlikelihood(ML),
using Newton-Raphson iterationto maximize the
likelihoodfunction,
as recommended
by Prescottand
Walden (1983); and (c) Jenkinson's
(1969) methodof
Table 2. AsymptoticBias and Varianceof PWM and
ML Estimatorsof GEV Quantiles, and Efficiency
of the PWM EstimatorsCompared WithML
(parameters =- 0, a = 1, k = -.2)
n x Bias
F

x (F)

PWM

.001
.01
.1
.2
.5
.8
.9
.98
.99
.998
.999

-1.60
-1.32
-.77
-.45
.38
1.75
2.84
5.91
7.55
12.33
14.90

-1.2
-.2
.8
1.0
.6
-1.3
-3.1
-4.4
-1.6
23.9
49.1

ML

n x Variance
PWM

ML

1.7
2.29
3.78
1.6
2.06
1.35
1.2
.86
.79
.9
.88
.88
-.1
1.92
1.79
-1.2
6.10
6.00
-1.1
16.1
15.9
5.5
147
131
13.4
336
289
54.8 1,760
1,430
88.2 3,310
2,630

Efficiency
.61
.66
.92
1.00
.93
.98
.99
.89
.86
.81
.80

NOTE: PWM-Probability-weighted moment; ML-Maximum likelihood; GEVGeneralizedextremevalue.

n x Variance

x (F)

PWM

ML

PWM

ML

-.4
-.3
-.2
-.1
.0
.1
.2
.3
.4

9.41
7.41
5.91
4.77
3.90
3.23
2.71
2.30
1.98

-64.8
-15.3
-4.4
-1.1
-.1
.3
.5
.5
.6

31.5
15.3
5.5
-.3
-3.8
-6.2
-8.9
-23.2
-

1,170
369
147
64.8
30.2
14.7
7.53
4.04
2.28

574
275
131
62.0
28.8
13.0
5.62
2.28
.83

Efficiency
.49
.75
.89
.96
.95
.88
.75
.56
.36

NOTE: PWM-Probability-weighted moment; ML-Maximum likelihood; GEVGeneralizedextremevalue.

sextiles(JS).The PWM methodrequiresa choiceofa

suitableestimatorof #,.Severalpossibilitieswereinvestigated,
includingthe unbiasedestimatorb, and a
numberof plotting-position
estimators/4,[Pj,n.The
best overall results were given by the estimator
/,[Pj,n]withPj,n= (J - .35)/n,and the simulationresults presentedfor the PWM method referto this
versionofthePWM estimators.
Maximum-likelihood
estimationof the GEV distribution is not always satisfactory.The loglikelihoodfunction
fora sample{x,,..., x"} is
log a - (1 - k) y, i- E e-yi,
Yi= -k 1 log { 1 - k(xi- )/a},
and log L can be made arbitrarily
large by setting
k > 1 and choosing~ and a so thatthe upperbound
+ ca/kof the distribution
is sufficiently
close to the
largestdata value. In practicemaximum-likelihood
estimatesof theparametersare obtainedby findinga
local maximumoflog L. For some samples,however,
it appearsthatlog L does not have a local maximum.
In our simulationsof theGEV distribution
thisnonregularityof the likelihood functioncaused occasional nonconvergenceof the Newton-Raphson
iteration that was used to maximize the loglikelihood;such sampleswereomittedfromthe simulations.Such occurrenceswererareexceptwhenthe
sample size was very small and when k = .4 (see
Table 4), and in our opiniontheyhave no significant
effecton the conclusionsthatmay be drawnregarding the relativemeritof the different
estimationprocedures.Similardifficulties
withmaximum-likelihood
estimationare encounteredwith otherdistributions
whose range depends on theirparameters,such as
the three-parameter
lognormal,Weibull,and gamma
distributions(e.g., see Griffiths
1980 or Cheng and
Amin1983).
The simulationresultsforestimationoftheparamlog L =-n

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256

Table 4. FailureRate of Maximum- Likelihood

Estimationforthe GEV Distribution
k
n

-.4

-.2

.0

.2

.4

15
25
50
100

.1
.0
.0
.0

.6
.0
.0
.0

1.7
.0
.0
.0

3.8
.3
.0
.0

12.4
1.9
.0
.0

NOTE: GEV-Generalized extremevalue. Tabulated values are numbersof failures

to converge of Newton-Raphson iterationsper 100 simulatedsamples.

eters of the GEV distributionare summarizedin

Tables 5 and 6. Resultsforthe estimatorof k are of
the greatestimportance,since this parameterdeterminesthe overallshape of the GEV distribution
and
the rate of increaseof the upperquantilesx(F) as F
approaches 1. Apartfromthe case n = 100,whenall
the methods have comparable performance,the
PWM estimatorhas, consistently,
the lowest standard deviationof thethreeestimatorsof k,its advantage being particularlymarked in small samples,
n = 15 and n = 25. The PWM estimator has in gen-

eral a largerbias than the otherestimators,but its

bias is small near theimportantvalue k = 0 and is in
any case relativelyinsignificantcompared to the
standard deviationin its contributionto the mean
squared errorof k. The sextileestimatorof k has a
large positivebias in small sampleswhenk < 0, and
its standarddeviationis generallylargerthanthatof
thePWM estimator.
Similarresultscan be seen forestimatorsof ~ and
betweenthe variancesof
a, althoughthe differences
the estimatorsare less markedthan is the case with
estimatorsof k. In general,PWM estimatorshave
smalleststandard deviation,particularlyfor n = 15

and n = 25, and theirbias, thoughoftenlargerthan

forthe ML or sextileestimators,is not severe.The
standard deviations of the PWM estimatorsfor
n > 50 are well approximatedby theirlarge-sample
values given by (16) and Table 1. Maximumlikelihood estimatorsare the least biased but are
more variable than PWM estimatorsin small samples. Even at sample size 100, the asymptoticinefof the PWM methodcomparedto maximum
ficiency
likelihoodis not apparentin the simulationresults.
Sextileestimatorsin generalhave largerstandarddeviationsthan PWM estimatorsand have some significantbiases in smallsampleswhenk < 0.
The statisticalpropertiesof estimatorsof quantiles
of the GEV distributionwere evaluated for many
combinationsof quantiles and values of the shape
simulaparameterk, and only a few representative
tion resultsare presentedin Table 7. The most importantaspect of quantileestimationin hydrological
applicationsis estimationoftheextremeupperquanforheavy-tailedGEV distributions
tiles,particularly
withk < 0. Table 7 givesthebias and standarddeviation of the estimatedupperquantilesfortwo GEV
one withk < 0 and one withk > 0. Redistributions,
sults are presentedfor the ratios x(F)/x(F) rather
than forthe x(F) themselves,
since the formerquantitiesare moreeasilycomparedat different
F values.
For sample size 100 the threemethodshave comparable performance.In small samples the upper
quantiles obtained by PWM estimationare rather
to themaximumbiased,but theyare stillpreferable
likelihood estimators,since these have very large
biases and standard deviations.The errorsin the
maximum-likelihood
quantileestimatorsarisechiefly
froma small numberof simulatedseriesthat yield
large negativeestimatesof k and consequentlygive
verylargeestimatesofextremeupperquantiles.

Table 5. Bias of Estimatorsof GEV Parameters

Bias (e)
n

Method

-.4

-.2

.0

Bias (d)
.2

.4

-.4

-.2

Bias (k)

.0

.2

.4

.00 -.03
.00 -.06
.05
.04 -.07 -.07
.04
.02 -.05 -.06

-.10
-.07
-.07

-.11
-.06
-.08

-.12
-.07
-.08

.11
.03 -.03 -.08 -.12
-.04 -.02
.04
.02
.03
.10
.06
.03
.01 -.01

-.4

-.2

.0

.2

.4

15

PWM
ML
JS

.10
.03
.11

.05
.03
.08

25

PWM
ML
JS

.06
.01
.06

.03
.02
.04

.01 -.01 -.02

.00 -.04
.03
.03
.04 -.04 -.04
.03
.02
.01 -.03 -.03

-.06
-.04
-.04

-.07
-.03
-.04

-.07
-.03
-.05

.08
.02 -.02 -.05 -.07
-.02 -.01
.02
.04
.05
.07
.04
.01 -.00
.02

50

PWM
ML
JS

.04
.01
.04

.02
.01
.02

.01
.02
.02

.00 -.01
.01 -.02
.02
.02 -.02 -.02
.01
.01 -.02 -.02

-.03
-.02
-.02

-.04
-.02
-.02

-.04
-.01
-.02

.05
-.01
.04

100

PWM
ML
JS

.02
.00
.02

.01
.00
.01

.00
.01
.01

.00 -.01
.00 -.01
.01
.01 -.01 -.01
.00
.00 -.01 -.01

-.02
-.01
-.01

-.02
-.01
-.01

-.02
.03
.00 -.01
-.01
.02

-.02
.05
.06

.02 -.01 -.02 -.04

.00
.02
.01
.03
.02
.01
.00
.00
.01
.00
.01

.00 -.01 -.02

.00
.01
.02
.00
.00
.00

NOTE: GEV-Generalized extreme value; PWM-Probability-weighted moment; ML-Maximum likelihood; JS-Jenkinson's

(1969) sextiles.

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ESTIMATIONOF GENERALIZEDEV DISTRIBUTION

257

Table 6. Standard Deviation of Estimatorsof GEV Parameters

k

Standard Deviation (k)

Standard Deviation (a)

Standard Deviation (E,)

Method

-.4

-.2

.0

.2

.4

-.4

-.2

.0

.2

.4

-.4

-.2

.0

.2

.4

15

PWM
ML
JS

.32
.32
.33

.30
.32
.31

.29
.31
.30

.28
.30
.29

.28
.28
.28

.33
.28
.32

.25
.25
.28

.21
.23
.24

.19
.22
.21

.19
.21
.21

.20
.36
.25

.19
.32
.24

.18
.29
.23

.18
.27
.23

.19
.23
.23

25

PWM
ML
JS

.24
.24
.24

.23
.24
.23

.22
.23
.23

.22
.23
.22

.22
.22
.22

.24
.21
.24

.19
.19
.21

.17
.17
.18

.15
.16
.17

.16
.17
.16

.18
.24
.19

.16
.21
.18

.14
.20
.17

.14
.18
.17

.15
.17
.17

50

PWM
ML
JS

.17
.17
.17

.16
.16
.16

.16
.16
.16

.16
.16
.16

.16
.16
.16

.17
.15
.17

.14
.13
.14

.12
.12
.13

.11
.11
.12

.11
.11
.11

.14
.15
.14

.12
.13
.13

.11
.12
.12

.10
.11
.11

.11
.11
.12

100

PWM
ML
JS

.12
.12
.12

.12
.11
.12

.11
.11
.11

.11
.11
.11

.11
.11
.11

.12
.10
.12

.10
.09
.10

.09
.08
.09

.08
.08
.08

.08
.08
.08

.11
.10
.10

.09
.09
.09

.07
.08
.08

.07
.07
.08

.08
.07
.08

NOTE: GEV-Generalized extreme value; PWM-Probability-weighted moment; ML-Maximum likelihood; JS-Jenkinson's

(1969) sextiles.

Estimationof extremelower quantilestendsto be

less importantin practicethan estimationof upper
quantiles,so simulationresultsforthiscase are not
given in detail. All threemethodsgive comparable
resultswhenn > 50, but forsmall samplesthe PWM
estimators have smallest standard deviation and
small or moderatebias, and are generallyto be preferred.
All the methods of quantile estimationare very
inaccurate when estimatingextreme quantiles in
small samples with k < 0. It is of course to be expectedthat a quantilex(F) cannot be estimatedreliably froma sampleof size n ifF > 1 - 1/n.Nonetheless it is sometimespossible to obtain usefulestimates of extremequantilesfromshortdata sets,by

froma numberof indepencombininginformation

dent data sets. Such a "regionalization"procedure,
based on the PWM estimationmethodforthe GEV
is describedin Hoskinget al. (1985).
distribution,
6. TESTING WHETHER THE SHAPE
PARAMETER IS ZERO
The Type I extreme-value
or Gumbel
distribution,
is a particularlysimple special case of
distribution,
the GEV distribution,
and it is oftenusefulto test
whethera givenset ofdata is generatedby a Gumbel
ratherthana GEV distribution.
This is equivalentto
testingwhetherthe shape parameterk is zero in the
A test of this hypothesismay be
GEV distribution.
based on the PWM estimatorof k. On the null hy-

Table 7. Bias and Standard Deviation of Estimatorsof GEV Quantiles

k = -.2
F= .9,
x(F) = 2.84

F = .99,
x(F) = 7.55

k =.2
F = .999,
x(F) = 14.90

F =.9,
x(F) = 1.81

F = .99,
x(F) = 3.01

F = .999,
x(F) = 3.74
SD

Method

Bias

SD

Bias

SD

Bias

SD

Bias

SD

Bias

SD

Bias

15

PWM
ML
JS

-.06
.01
-.08

.34
.50
.34

-.02
*

.55
*

.15
*

1.12
*

-.05

.56

.14

1.20

-.04
-.06
-.06

.23
.23
.22

.08
.02
-.01

.32
.79
.33

.25
.44
.11

.56
8.10
.64

25

PWM
ML
JS

-.04
-.01
-.05

.27
.32
.27

-.01
.16
-.02

.45
.97
.46

.11
.74
.09

.88
9.59
.89

-.02
-.04
-.04

.18
.17
.17

.05
-.04
-.01

.24
.29
.25

.14
.02
.05

.39
.86
.42

50

PWM
ML
JS

-.02
-.01
-.02

.19
.22
.19

-.01
.05
-.01

.33
.40
.33

.06
.18
.04

.61
.86
.59

-.01
-.03
-.02

.12
.12
.12

.02
-.03
-.01

.16
.16
.17

.07
-.02
.02

.25
.28
.27

100

PWM
ML
JS

-.01
.00
-.01

.14
.15
.14

.00
.02
.00

.24
.25
.24

.04
.08
.03

.42
.43
.40

-.01
-.01
-.01

.09
.09
.09

.01
-.02
.00

.12
.11
.12

.03
-.01
.01

.17
.15
.18

* Values thatvaried
sets of 1,000 simulationsand consequentlycould not be estimatedaccurately.
widelybetween different
NOTE: GEV-Generalized extremevalue; SD-Standard deviation; PWM-Probability-weighted moment; ML-Maximum likelihood; JS-Jenkinson's (1969) sextiles. Tabulated values are bias and standarddeviation of the ratioR(F)/x(F) ratherthan of the
quantile estimator,x(F) itself.

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258

pothesisHo: k = 0, the PWM estimatorkis asymptoticallydistributedas N(0, .5633/n),so the testmay

be performedby comparing the statistic Z =
k(n/.5633)1/2with the criticalvalues of a standard
Normal distribution.
Significant
positivevalues of Z
imply rejectionof Ho in favor of the alternative
k > 0, and significant
negativevalues of Z implyrejectionin favorofk < 0.
The size of the testbased on Z forvarioussample
sizes is givenin Table 8. In Table 9 the powerof the
Z test is compared with that of the modified
likelihood-ratiotest,which was found by Hosking
(1984) to be the best test of the hypothesisk = 0.
Tables 8 and 9 are based on computersimulationsof
50,000samplesforeach value of n and k. The Z test
has poweralmostas highas thelikelihood-ratio
test,
and forsamplesof size 25 or moreits distribution
on
Ho is adequately approximatedby the standard
Normal significancelevels. Since the statisticZ is
verysimple to compute,the Z testcan be strongly
recommendedas a convenientand powerfulindicator of the sign of the shape parameterof the GEV
distribution.
7.

EXAMPLE

As an example we fitextreme-value
distributions
to the 35 annual maximumfloodsof the riverNidd
at Hunsingore,Yorkshire,England. The data are
taken fromNERC (1975b, p. 235). In Figure 5 the
ordereddata values xl < ... < xnare plottedagainst
the corresponding Gumbel reduced variates
-log (- log Fi), i = 1, ..., n, whereFi = (i - .44)/(n
+ .12) is the Gringorten(1963) plottingpositionfor
the ith smallestof n observationsfroma Gumbel
distribution.The returnperiod of xi is 1 - 1/Fi.
Gumbel and GEV distributionswere fittedto the
data by the methodof PWM, and the estimatedparameterswere as follows(figuresin parenthesesare
standarderrorsof estimatedparameters):Gumbel= 108.6 (8.6), a = 48.5 (7.4); GEV- = 105.8 (8.2),
a = 42.5 (6.7), k = -.13(.14). The fitteddistributions
Table 8. EmpiricalSignificanceLevels of the StatisticZ for
Testingthe HypothesisH: k = 0 Against
One -Sided and Two -Sided Alternatives

Table 9. Powers of Two Testsof the Hypothesisk = 0

Against One -Sided and Two -Sided Alternatives
(sample size 50, nominalsignificancelevel 5%)
Applications
For Modified
Likelihood-Ratio Test

For Z Test
k

k< 0

-.5
-.4
-.3
-.2
-.1
.0
.1
.2
.3
.4
.5

.96
.90
.77
.54
.25
.05
-

k>0

.05
.18
.50
.83
.96
1.00

k<0

.94
.85
.68
.43
.17
.05
.11
.37
.73
.93
.99

k>0

.06
.25
.57
.89
.98
1.00

.96
.88
.72
.46
.17
.05
.17
.43
.80
.96
1.00

.97
.93
.80
.57
.25
.04
-

are also plottedin Figure 5. The Z test of the hypothesisk = 0 in the GEV distribution
yieldsa test
statisticZ = 1.00. This value is not significant
and
suggeststhat the Nidd data may reasonablybe assumedto come froma Gumbeldistribution.
8.

CONCLUSIONS

Estimators of parametersand quantiles of the

GEV distributionhave been derived using the
methodof probability-weighted
moments.These estimatorshave severaladvantagesover existingmethods of estimation.They are fastand straightforward
to computeand always yieldfeasiblevalues forthe
estimatedparameters.The biases of the estimators
are small, except when estimatingquantiles in the
extremetails of the GEV distribution,
and theydecrease rapidlyas the samplesize increases.The standard deviationsof the PWM estimatorsare comparable withthose of the maximum-likelihood
estimatorsformoderatesamplessizes (n = 50, 100) and
are often substantiallyless than those of the
maximum-likelihood
estimatorsfor small samples
500

4 400

Alternatives
k <0

k> 0

Sample Size

10%*

5%*

10%*

5%*

10%*

5%*

15
25
50
100
200
500

10.3
10.4
10.5
10.4
10.4
10.5

4.3
4.6
4.9
5.1
5.0
5.3

7.3
8.4
8.9
9.4
9.7
9.6

3.7
4.3
4.6
4.9
5.1
4.9

8.0
8.9
9.6
10.0
10.2
10.2

3.5
4.1
4.7
5.1
5.2
5.1

*Nominallevel.

<

_-

0
-2

-1

10
20
Reburn period

1
2
3
Gumbel reduced vor lobe

50

I
100

Figure 5. DistributionsFittedby the Method of PWM to 35

Annual MaximumFloods of the RiverNidd:
GEV distribution; ----- Gumbeldistribution.

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259

ESTIMATIONOF GENERALIZEDEV DISTRIBUTION

(n = 15, 25). PWM estimatorsof GEV parameters
and quantileshave asymptoticNormal distributions,
and the large-sampleapproximationto the variance
oftheestimatorsis adequate forsamplesizes of 50 or
more.AlthoughPWM estimatorsare asymptotically
inefficient
compared to maximum-likelihoodestiis detectablein samplesofsize
mators,no inefficiency
100 or less.The PWM estimatoroftheshape parameter k of the GEV distributionmay be used as the
basis of a testof the hypothesisHo: k = 0, and this
testis simpleto perform,
and accurate.
powerful,
ACKNOWLEDGMENTS
This cooperativeworkwas supportedby theInstitute of Hydrology,Wallingford,England. We are
greatlyindebtedto J. S. G. McCulloch (Directorof
the Instituteof Hydrology),P. E. O'Connell, and R.
T. Clarke forinitiatingand sustainingthis research
effort.
Part ofJ.R. M. Hosking'sresearchwas carried
out at the MathematicsResearchCenter,University
of Wisconsin-Madison,with the support of U.S.
ArmyContractDAAG29-80-C-0041.
APPENDIX A: PROBABILITY-WEIGHTED
MOMENTS FOR THE GEV DISTRIBUTION

are both positive, so (B.1) reduces to bo - 4b,

+ 3b2 < 0. But we can write
2
bo -o 4b1 -+ 3b2 = n(n- 1)(n- 2)

[ + a{l -(-log

F)k}/k]F'dF

(B.4)

a = (2b, - b0)k/{F(1+ k)(1 - 2-)}

(B.5)
and 2bI bo > 0 as notedbefore,k/(1 2-k) > 0 for
all k, and r(1 + k) > 0 because > - 1, it follows
thatwe musthave c > 0.
APPENDIX C: ASYMPTOTIC DISTRIBUTION
OF THE b,
The statisticb, may be writtenas a linearcombinationoftheorderstatisticsofa randomsample: We
have
br = n- 1

u = - log F,
substituting
=(

+ a/k)

Jo

e -(r+1)udu- (a/k)

Jo

uke%-(r+

= ( + oa/k)(r+ 1)- -(a/k)(r + 1)- 1

k(l

)u du

+ k)

providedthatk > -1,

= (r + 1)-`[L +

a{l - (r +

1)-kF(1 + k)}/k].

(A.1)

APPENDIX B: FEASIBILITY OF PWM

ESTIMATES OF THE GEV PARAMETERS
The PWM estimatork satisfies(13), and therefore
> --1 providedthat
(2b - bo)/(3b2- bo)> 2.

(B.1)

Now
n(n-n( 1)

)i>j

(x -

n(n- 1)(n-2) i>j>k

(C.1)

()Xj,

asymptoticallya functionof the plottingposition

j/(n + 1): in fact,
{j/(n + 1)}'. It is straightforwardto verify
thatbrsatisfiestheconditionsofTheorem 1 of Chernoffet al. (1967), and fromthat theoremit followsthatbris asymptotically
Normallydistributedwithmean fr,
and variance
n- v = 2n-1

fJ'
{F(x)}r{F(y)}r

(B.2)

(B.3)

F(x)
x {1 F(y)} dx dy. (C.2)

x<y

A similar argumentapplies to any linear combination of the br (r = 0, 1, 2, ...), and it followsthat

the br are asymptotically
jointly Normallydistributedwithcovariancegivenby
vrs =

where
2

lim n cov (b,, bs) =

{J

{F(x)}r{F(y)}S

x<y
)

and
^3b2-bo

j-=l

grs =

2b - bo

c(r

+ a(1 - uk)/k}e-(r+ 1)udu,

+ xk);
k);

where c- = (j - 1)
' (j - r)/{(n - 1) ... (n - r)}
and x < x < ...
< x is the ordered sample. As
n- oo and j- oo withj/n- 0 (0 < 0 < 1), c{r is

fr = Ml,r,O

(-x
(i

thusbo - 4b1 + 3b2 < 0 almostsurelyand, therefore,

k > -1 almost surely.Results(B.2)-HB.4)are easily
provedby inductionon thesamplesize n.
since
Furthermore,

For theGEV distribution

we have from(2) and (3)

i>>k

j (grs+

sr),

(C.3)

F(x){l - F(y)} dx dy.

(C.4)

To evaluate the g,s for the GEV distributionwe

considerfirstthecase k > 0 and let
Irs =

{F(x)}r{F(y)}s dx dy

(C.5)

x<y

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260
so that
grs = I,+ l.s

(C.6)

r+ 1s+ 1

sub(7) in (C.5) and makingthe further

Substituting
stitution u = {1 - k(x )/a}1/k, V =
{1 - k(y- )/} 1/k,we have
rs = 22

Ukle-ru du . vk-

vk- le-Sv(k,

2x2r-k

= a2k-2(r

) -2kFr(

le-sv

dv

rv) dv

+ 2k)

x 2F1[1, 2k; 1 + k; s/(r+ s)]

(C.7)

(Gradshteynand Ryzhik1980,pp. 317 and 663); here

Fr(, *) is the incompletegamma functionand 2F1 is
the hypergeometric
function.It is convenientto
transform
thehypergeometric
functionin (C.7), using
resultsfromGradshteynand Ryzhik(1980,p. 1043):
2F,[1, 2k; 1 + k; s/(r+ s)]
= 22k{F(l + k)}2/Fr( + 2k) ifr = s,

ifr > s,

= {r/(r+ s)}-2kG(s/r)

= -{s/(r + s)} -2kG(r/s) +

2r-s-k(r + s)2k

x {rF(l + k)}2/F(1 + 2k) ifr < s,

(C.8)

whereG denotesthehypergeometric
functionG(x) =
2F,(k, 2k; 1 + k; -x); note that G(0) = 1. Substituting back into (C.6) and (C.3) we obtain thefollowing
expressionsforthev,s':
Vrr= C2k-2(r + 1)-2k[r(1

+ 2k)G{r/(r+ 1)}
- {r(1 + k)}2],

Vr,+1 = ?c2k-2

+ (r +

[(r +

2)-2kr(l

(C.9)

+ 2k)G{r/(r+ 2)}

1)-k{(r + 1)-k - 2(r

+ 2)-k}{r(1 + k)}2],

(C.10)
v,,r+s=ia2k-2[(r+s+

1)-2kF(1 +2k)G{r/(r

+ s+ 1)}

- (r + s)-kF(1 + 2k)G{(r + 1)/(r+ s)} + 2(r + 1)-k

x {(r + )-k-

(r + s + 1)-k}{r(1

+ k)}2],

s > 2.

(C.11)
When k < 0 the foregoingargumentis not valid
because theintegralin (C.5) does not converge.However, the expressions(C.9)-(C.11) are analyticfunctionsof k forall k > - ?; henceby analyticcontinuation expressions(C.9HC. 11) are valid solutionsof
theintegralrepresentation
(C.3HC.4) throughoutthe
domain - ? < k < oo. At the value k = 0, the v7,are
given by the limitsof (C.9)-(C. 11) as k-0; these
limitsare welldefined.
TECHNOMETRICS,

AUGUST

The resultsstated in this Appendixare valid for

arbitrarypositiveintegersr and s, thoughonly the
cases r, s = 0, 1, 2 are required for derivingthe
ofPWM estimators.
asymptoticdistributions
[ReceivedJune1984.RevisedDecember1984.]

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