A statistical test procedure for the shape parameter of a generalized Pareto distribution

DOI10.1016/S0167-9473(03)00087-2zbMath1429.62066OpenAlexW2065252998MaRDI QIDQ956880

Ali Chaouche, Jean-Noel Bacro

Publication date: 26 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-9473(03)00087-2

zbMATH Keywords

generalized Pareto distributionsmall sample sizemaximum likelihood ratio testprobability weighted moment

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03)

Related Items (5)

Extreme Value Theory and Statistics of Univariate Extremes: A Review ⋮ Unnamed Item ⋮ How fast can the chord length distribution decay? ⋮ Statistical Inference for the Generalized Pareto Distribution: Maximum Likelihood Revisited ⋮ A review of goodness of fit tests for Pareto distributions

Cites Work

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• Estimating tails of probability distributions
• Residual life time at great age
• Statistical inference using extreme order statistics
• Linear combinations of order statistics to estimate the position and scale parameters of the generalized Pareto distribution
• Maximum likelihood estimation in a class of nonregular cases
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Fitting the Generalized Pareto Distribution to Data

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