Likelihood inference for generalized Pareto distribution

DOI10.1016/j.csda.2014.10.014OpenAlexW2072146118MaRDI QIDQ1623780

Joan del Castillo, Isabel Serra

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2014.10.014

zbMATH Keywords

maximum likelihood estimationmodel selectionextreme value theoryAkaike and Bayesian information criteriaBilbao data

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Point estimation (62F10) Reliability and life testing (62N05)

Related Items (6)

Efficient likelihood-based inference for the generalized Pareto distribution ⋮ A general estimator for the right endpoint with an application to supercentenarian women's records ⋮ Extreme tail risk estimation with the generalized Pareto distribution under the peaks-over-threshold framework ⋮ Parameter and quantile estimation for the generalized Pareto distribution in peaks over threshold framework ⋮ Unnamed Item ⋮ Confidence intervals of the generalized Pareto distribution parameters based on upper record values

Uses Software

• ismev
• QRM
• BRENT
• plfit

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Testing Exponentiality Versus Pareto Distribution via Likelihood Ratio
• Extended generalised Pareto models for tail estimation
• Estimation of the generalized Pareto distribution
• Fitting the generalized Pareto distribution to data using maximum goodness-of-fit estimators
• Residual life time at great age
• Statistical inference using extreme order statistics
• Residual coefficient of variation and some characterization results
• Robust and efficient estimation for the generalized Pareto distribution
• LIKELIHOOD MOMENT ESTIMATION FOR THE GENERALIZED PARETO DISTRIBUTION
• Power-Law Distributions in Empirical Data
• 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
• Computing Maximum Likelihood Estimates for the Generalized Pareto Distribution
• Statistics of Extremes
• Methods to Distinguish Between Polynomial and Exponential Tails
• Bayesian Likelihood Methods for Estimating the End Point of a Distribution
• Parameter Estimation for the Truncated Pareto Distribution
• An introduction to statistical modeling of extreme values

This page was built for publication: Likelihood inference for generalized Pareto distribution