Robust and efficient estimation for the generalized Pareto distribution

DOI10.1007/s10687-005-6475-6zbMath1091.62017OpenAlexW1986058856MaRDI QIDQ2488456

Sergio F. Juárez, William Shucany

Publication date: 24 May 2006

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-005-6475-6

zbMATH Keywords

minimum distanceextreme valuemedian estimatorexcess over high thresholdoptimally-biased robust estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric robustness (62G35) Robustness and adaptive procedures (parametric inference) (62F35)

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Cites Work

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• Exceedances over high thresholds: a guide to threshold selection
• Robust estimation of the generalized Pareto distribution
• Maximum likelihood estimation in a class of nonregular cases
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Robust and efficient estimation by minimising a density power divergence

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