Estimation for the Generalized Pareto Distribution Using Maximum Likelihood and Goodness of Fit

DOI10.1080/03610920903324874zbMath1218.62011OpenAlexW2145146210MaRDI QIDQ3017861

Mathias Raschke, Deyuan Li, Juerg Hüsler

Publication date: 20 July 2011

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

Full work available at URL: https://doi.org/10.1080/03610920903324874

zbMATH Keywords

asymptotic distribution

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Point estimation (62F10)

Related Items (7)

On consistency of the likelihood moment estimators for a linear process with regularly varying innovations ⋮ Opportunities of the minimum Anderson–Darling estimator as a variant of the maximum likelihood method ⋮ Unnamed Item ⋮ Asymptotic normality of the likelihood moment estimators for a stationary linear process with heavy-tailed innovations ⋮ Parameter Estimation for the Tail Distribution of a Random Sequence ⋮ Extreme value index estimator using maximum likelihood and moment estimation ⋮ Bayesian and non-Bayesian inference for the generalized Pareto distribution based on progressive type II censored sample

Cites Work

• Existence and consistency of the maximum likelihood estimator for the extreme value index
• Statistical inference using extreme order statistics
• LIKELIHOOD MOMENT ESTIMATION FOR THE GENERALIZED PARETO DISTRIBUTION
• Maximum likelihood estimation in a class of nonregular cases
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Computing Maximum Likelihood Estimates for the Generalized Pareto Distribution

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