A hybrid estimator for generalized pareto and extreme-value distributions
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Publication:4391112
DOI10.1080/03610929808832136zbMath0900.62125OpenAlexW2051242586MaRDI QIDQ4391112
Publication date: 16 November 1998
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610929808832136
method of momentshybrid estimatorfeasible estimatesauxiliary constraintmethod of probability-weighted moments
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Estimating extreme tail risk measures with generalized Pareto distribution ⋮ Parameter and quantile estimation for the generalized Pareto distribution in peaks over threshold framework ⋮ Correcting Certain Estimation Methods for the Generalized Pareto Distribution ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ Zero-inflated truncated generalized Pareto distribution for the analysis of radio audience data ⋮ LIKELIHOOD MOMENT ESTIMATION FOR THE GENERALIZED PARETO DISTRIBUTION ⋮ Parameter estimation of the generalized Pareto distribution. I ⋮ A new hybrid estimation method for the generalized pareto distribution ⋮ Generalised smooth tests for the generalised Pareto distribution ⋮ Optimally robust estimators in generalized Pareto models ⋮ Estimation of the Pareto and related distributions – A reference-intrinsic approach ⋮ An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators.
Cites Work
- Statistical inference using extreme order statistics
- A Comparison of confidence intervals for generalized extreme-value distributions
- Estimating the probability of obtaining nonfeasible parameter estimates of the generalized extreme-value distribution
- Estimating the probability of obtaining nonfeasible parameter estimates of the generalized pareto distribution
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