Estimation of the generalized Pareto distribution

DOI10.1016/j.spl.2008.10.021zbMath1156.62313OpenAlexW2006331849MaRDI QIDQ1007361

Joan del Castillo, Jalila Daoudi

Publication date: 20 March 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.10.021

Mathematics Subject Classification ID

Point estimation (62F10)

Related Items (10)

A general estimator for the right endpoint with an application to supercentenarian women's records ⋮ Likelihood inference for generalized Pareto distribution ⋮ Progressively type-II censored competing risks data from Lomax distributions ⋮ Unnamed Item ⋮ A Median Regression Model to Estimate the Parameters of the Three-Parameter Generalized Pareto Distribution ⋮ Minimum and Maximum Information Censoring Plans in Progressive Censoring ⋮ Fitting Distribution to Data by a Generalized Nonlinear Least Squares Method ⋮ Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution ⋮ Estimation of the shape parameter of a generalized Pareto distribution based on a transformation to Pareto distributed variables ⋮ Methods to Distinguish Between Polynomial and Exponential Tails

Uses Software

• ismev

Cites Work

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• Statistical inference using extreme order statistics
• The singly truncated normal distribution: A non-steep exponential family
• Maximum likelihood estimation in a class of nonregular cases
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Fitting the Generalized Pareto Distribution to Data
• Extreme Values in Finance, Telecommunications, and the Environment
• An introduction to statistical modeling of extreme values

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