Estimation of the shape parameter of a generalized Pareto distribution based on a transformation to Pareto distributed variables

DOI10.1080/15598608.2013.865106zbMath1423.62018arXiv1210.7642OpenAlexW3101970101MaRDI QIDQ2320942

J. Martin van Zyl

Publication date: 28 August 2019

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.7642

zbMATH Keywords

Paretoestimationtransformationgeneralized Pareto distribution

Mathematics Subject Classification ID

Point estimation (62F10) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (2)

Estimating moments of a selected Pareto population under asymmetric scale invariant loss function ⋮ A review of more than one hundred Pareto-tail index estimators

Uses Software

• LMOMENTS

Cites Work

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• The estimation of the parameters of the stable laws
• Fitting the Generalized Pareto Distribution to Data
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• Nonparametric Analysis of Univariate Heavy‐Tailed Data

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