Parameter estimation for 2-parameter generalized Pareto distribution by POME

DOI10.1007/BF02427916zbMath0890.62003OpenAlexW2152695590MaRDI QIDQ1369696

J. Ning

Publication date: 22 June 1998

Published in: Stochastic Hydrology and Hydraulics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02427916

zbMATH Keywords

maximum likelihood estimationprinciple of maximum entropygeneralized Pareto distributionprobability weighted momentsmethods of moments

Mathematics Subject Classification ID

Point estimation (62F10) Monte Carlo methods (65C05) Statistical aspects of information-theoretic topics (62B10)

Related Items (5)

A comparative evaluation of the estimators of the three-parameter generalized pareto distribution ⋮ Extreme Value Theory and Statistics of Univariate Extremes: A Review ⋮ Quasi-conjugate Bayes estimates for GPD parameters and application to heavy tails modelling ⋮ The \(q\)-exponentials do not maximize the Rényi entropy ⋮ On the use of the peaks over thresholds method for estimating out-of-sample quantiles.

Cites Work

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• The first and the second e of the extreme value distribution, EV1
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• Estimating the stable index \(\alpha\) in order to measure tail thickness: a critique
• Estimating tails of probability distributions
• Statistical inference using extreme order statistics
• Computation of visco-resistive MHD instabilities
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Estimation of quantiles of the maximum of N observations
• Prior Probabilities

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