Parameter and quantile estimation for the generalized Pareto distribution in peaks over threshold framework

DOI10.1016/j.jkss.2017.02.003zbMath1390.62081OpenAlexW2597218230MaRDI QIDQ1674040

Suyeon Kang, Jongwoo Song

Publication date: 1 November 2017

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2017.02.003

zbMATH Keywords

maximum likelihood estimatorHill estimatornonlinear least squaresgeneralized Pareto distributionpeaks over threshold

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

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