Robust estimation of the generalized Pareto distribution
type: Item
instance of: scholarly article
title: Robust estimation of the generalized Pareto distribution
zbMATH Open document ID: 1008.62024
DOI: 10.1023/A:1012233423407
author: Liang Peng
author: Alan H. Welsh
published in: Extremes
publication date: 2002-11-21T00:00:00Z
review text: A median estimator is constructed for the parameters \(\gamma\), \(\sigma\) of the generalized Pareto distribution \(F(x)=1-(1+\gamma x/\sigma)^{-1/\gamma}\) by i.i.d. samples. Asymptotic normality of the estimator is demonstrated and the limit covariance matrix is evaluated. Results of simulations are presented where the MLE, the optimal bias robust estimator and the median estimator are compared.
Mathematics Subject Classification ID: 62F10
Mathematics Subject Classification ID: 62F35
Mathematics Subject Classification ID: 62G05
zbMATH DE Number: 1833858
zbMATH Keywords: high thresholds
zbMATH Keywords: maximum likelihood estimation
zbMATH Keywords: method of medians
zbMATH Keywords: robust estimation
MaRDI profile type: Publication
Recommended article: Robust and efficient estimation for the generalized Pareto distribution
Recommended article: Robust Bayesian inference of generalized Pareto distribution
Recommended article: Estimation of the generalized Pareto distribution
Recommended article: Optimally robust estimators in generalized Pareto models
Recommended article: Parametric Estimates in a Generalized Pareto Distribution
Recommended article: Robust estimator of conditional tail expectation of Pareto-type distribution
Recommended article: Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view
Recommended article: Correcting Certain Estimation Methods for the Generalized Pareto Distribution
description: scientific article; zbMATH DE number 1833858