Exponentiated generalized Pareto distribution: Properties and applications towards extreme value theory

DOI10.1080/03610926.2018.1441418OpenAlexW2962703692WikidataQ57255291 ScholiaQ57255291MaRDI QIDQ5078393

Joseph H. T. Kim, Se Yoon Lee

Publication date: 23 May 2022

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

Full work available at URL: https://arxiv.org/abs/1708.01686

zbMATH Keywords

variable transformationextreme value theorygeneralized Pareto distribution (GPD)Hill plotexponentiated generalized Pareto distribution

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10)

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• Computing Maximum Likelihood Estimates for the Generalized Pareto Distribution
• Statistics of Extremes
• On the Exact Evaluation of the Variances and Covariances of Order Statistics in Samples from the Extreme-Value Distribution

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