Fitting the generalized Pareto distribution to data based on transformations of order statistics

DOI10.1080/02664763.2018.1495700OpenAlexW2884299763MaRDI QIDQ5036523

Xu Zhao, Haiqing Chen, Wei-hu Cheng, Yao-hua Rong

Publication date: 23 February 2022

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2018.1495700

zbMATH Keywords

order statisticsparameter estimationtransformationsleast squaresgeneralized Pareto distribution

Mathematics Subject Classification ID

Point estimation (62F10) Order statistics; empirical distribution functions (62G30) Applications of statistics (62Pxx)

Uses Software

• LMOMENTS
• QRM

Cites Work

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• Extended generalised Pareto models for tail estimation
• Statistical inference using extreme order statistics
• A simple general approach to inference about the tail of a distribution
• Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. With comments and a rejoinder by the author
• LIKELIHOOD MOMENT ESTIMATION FOR THE GENERALIZED PARETO DISTRIBUTION
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Fitting the Generalized Pareto Distribution to Data
• Computing Maximum Likelihood Estimates for the Generalized Pareto Distribution
• THE DISTRIBUTION OF THE RATIO, IN A SINGLE NORMAL SAMPLE, OF RANGE TO STANDARD DEVIATION

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