Efficient likelihood-based inference for the generalized Pareto distribution

DOI10.1007/S10463-020-00782-ZMaRDI QIDQ825059zbMATH OpenOpenAlexFDO

Authors Hideki Nagatsuka, Narayanaswamy Balakrishnan

Publication date 17 December 2021

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10463-020-00782-z

zbMATH Keywords

asymptotic normalityhypothesis testinginterval estimationpeaks over thresholdextreme valuenon-regularity problem

Mathematics Subject Classification ID

Statistics (62-XX)

Recommendations

• Likelihood inference for generalized Pareto distribution
• Improved inference for the generalized Pareto distribution
• A computational approach to confidence intervals and testing for generalized Pareto index using the Greenwood statistic
• Statistical Inference for the Generalized Pareto Distribution: Maximum Likelihood Revisited
• Estimation for the generalized Pareto distribution using maximum likelihood and goodness of fit

Cites work

• scientific article; zbMATH DE number 4153678 (Why is no real title available?)
• scientific article; zbMATH DE number 4159879 (Why is no real title available?)
• scientific article; zbMATH DE number 3917511 (Why is no real title available?)
• scientific article; zbMATH DE number 1220667 (Why is no real title available?)
• scientific article; zbMATH DE number 2122818 (Why is no real title available?)
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• A simple general approach to inference about the tail of a distribution
• An introduction to statistical modeling of extreme values
• Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution
• Computing Maximum Likelihood Estimates for the Generalized Pareto Distribution
• Conditional independence of blocked ordered data
• Data. A collection of problems from many fields for the student and research worker
• Extreme value theory. An introduction.
• Fitting the Generalized Pareto Distribution to Data
• Likelihood inference for generalized Pareto distribution
• Maximum likelihood estimation in a class of nonregular cases
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Parameter estimation of the generalized Pareto distribution. I
• Parameter estimation of the generalized Pareto distribution. II
• Statistical inference using extreme order statistics
• Statistics of Extremes

Cited in

(6)

• The Pareto type I joint frailty-copula model for clustered bivariate survival data
• A computational approach to confidence intervals and testing for generalized Pareto index using the Greenwood statistic
• Shrinkage methods for estimating the shape parameter of the generalized Pareto distribution
• Statistical Inference for the Generalized Pareto Distribution: Maximum Likelihood Revisited
• LIKELIHOOD MOMENT ESTIMATION FOR THE GENERALIZED PARETO DISTRIBUTION
• A default Bayesian procedure for the generalized Pareto distribution

This page was built for publication: Efficient likelihood-based inference for the generalized Pareto distribution

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q825059)