Generalizing the Pareto to the log-Pareto model and statistical inference

DOI10.1007/s10687-008-0070-6zbMath1221.62039OpenAlexW2002208011MaRDI QIDQ626281

Rolf-Dieter Reiss, Ulf Cormann

Publication date: 22 February 2011

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-008-0070-6

zbMATH Keywords

maximum likelihood estimationexceedancessuper-heavy tails

Mathematics Subject Classification ID

Point estimation (62F10) Exact distribution theory in statistics (62E15)

Related Items (7)

Log-regularly varying scale mixture of normals for robust regression ⋮ Unnamed Item ⋮ Distance between exact and approximate distributions of partial maxima under power normalization ⋮ Accounting for choice of measurement scale in extreme value modeling ⋮ On posterior consistency of tail index for Bayesian kernel mixture models ⋮ On the exponential max-domain of attraction of the standard log-Fréchet distribution and subexponentiality ⋮ On von Mises type conditions for \(p\)-max stable laws, rates of convergence and generalized log Pareto distributions

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• Quasi-conjugate Bayes estimates for GPD parameters and application to heavy tails modelling
• Fitting the Generalized Pareto Distribution to Data
• Recurrence properties of autoregressive processes with super-heavy-tailed innovations

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