Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution

DOI10.1080/03610926.2014.887104zbMath1341.62077OpenAlexW1484514907MaRDI QIDQ2811451

Hui Feng, David E. A. Giles, Ryan T. Godwin

Publication date: 10 June 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: http://www.uvic.ca/socialsciences/economics/assets/docs/econometrics/ewp0902.pdf

zbMATH Keywords

bias reductionextreme valuesmaximum likelihoodparametric bootstrapgeneralized Pareto distributionpeaks over threshold

Mathematics Subject Classification ID

Point estimation (62F10) Bootstrap, jackknife and other resampling methods (62F40) Estimation in survival analysis and censored data (62N02) Reliability and life testing (62N05)

Related Items (10)

Efficient likelihood-based inference for the generalized Pareto distribution ⋮ bccp: an R package for life-testing and survival analysis ⋮ Bias corrected maximum likelihood estimators under progressive type-I interval censoring scheme ⋮ Improved inference on risk measures for univariate extremes ⋮ Analytic bias correction for maximum likelihood estimators when the bias function is non-constant ⋮ Improved parameter estimation of the log-logistic distribution with applications ⋮ Bias and size corrections in extreme value modeling ⋮ Progressive type-II hybrid censored schemes based on maximum product spacing with application to power Lomax distribution ⋮ On the Bias of the Maximum Likelihood Estimator for the Two-Parameter Lomax Distribution ⋮ Two-sided variable inspection plans for arbitrary continuous populations with unknown distribution

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