Improved inference for the generalized Pareto distribution

DOI10.1214/16-BJPS332zbMath1404.62020OpenAlexW2791521760MaRDI QIDQ1994025

Audrey H. M. A. Cysneiros, Juliana F. Pires, Francisco Cribari-Neto

Publication date: 6 November 2018

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bjps/1520046135

zbMATH Keywords

bootstraplikelihood ratio testmaximum likelihood estimationprofile likelihoodgeneralized Pareto distribution

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics to environmental and related topics (62P12) Point estimation (62F10) Exact distribution theory in statistics (62E15) Probability distributions: general theory (60E05)

Related Items (1)

Improved inference on risk measures for univariate extremes

Uses Software

• Ox
• ismev

Cites Work

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• Bootstrap methods: another look at the jackknife
• On a formula for the distribution of the maximum likelihood estimator
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• An empirical adjustment to the likelihood ratio statistic
• A simple general formula for tail probabilities for frequentist and Bayesian inference
• Fitting the Generalized Pareto Distribution to Data
• Statistical Models
• An introduction to statistical modeling of extreme values

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