Likelihood inference for generalized Pareto distribution

DOI10.1016/J.CSDA.2014.10.014MaRDI QIDQ1623780zbMATH OpenOpenAlexFDO

Authors Joan del Castillo, Isabel Serra

Publication date 23 November 2018

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

Full work available at URL https://doi.org/10.1016/j.csda.2014.10.014

zbMATH Keywords

Akaike and Bayesian information criteriaBilbao dataextreme value theorymaximum likelihood estimationmodel selection

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Point estimation (62F10) Reliability and life testing (62N05)

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Cites work

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• Fitting the Generalized Pareto Distribution to Data
• Fitting the generalized Pareto distribution to data using maximum goodness-of-fit estimators
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• LIKELIHOOD MOMENT ESTIMATION FOR THE GENERALIZED PARETO DISTRIBUTION
• Maximum likelihood estimation in a class of nonregular cases
• Methods to distinguish between polynomial and exponential tails
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Parameter Estimation for the Truncated Pareto Distribution
• Power-law distributions in empirical data
• Residual coefficient of variation and some characterization results
• Residual life time at great age
• Robust and efficient estimation for the generalized Pareto distribution
• Statistical inference using extreme order statistics
• Statistics of Extremes
• Testing Exponentiality Versus Pareto Distribution via Likelihood Ratio

Cited in

(24)

• Estimation of the generalized Pareto distribution
• Parameter and quantile estimation for the generalized Pareto distribution in peaks over threshold framework
• Improved inference for the generalized Pareto distribution
• Confidence intervals of the generalized Pareto distribution parameters based on upper record values
• A general estimator for the right endpoint with an application to supercentenarian women's records
• A one- and two-dimensional generalized Pareto model for a river flow
• Generalized Pareto distributions, image statistics and autofocusing in automated microscopy
• On the maximum likelihood estimators for some generalized Pareto-like frequency distribution
• Estimation for the generalized Pareto distribution using maximum likelihood and goodness of fit
• A likelihood ratio model for change point detection of generalized Pareto distribution
• LIKELIHOOD MOMENT ESTIMATION FOR THE GENERALIZED PARETO DISTRIBUTION
• Likelihood inference for Type I bivariate Pólya–Aeppli distribution
• Extreme tail risk estimation with the generalized Pareto distribution under the peaks-over-threshold framework
• Statistical Inference for the Generalized Pareto Distribution: Maximum Likelihood Revisited
• A computational approach to confidence intervals and testing for generalized Pareto index using the Greenwood statistic
• Generalizing the Pareto to the log-Pareto model and statistical inference
• Modified Greenwood statistic and its application for statistical testing
• Comparative study on excess distribution estimation in iid settings
• Testing and estimation of the index of stability of univariate and bivariate symmetric -stable distributions via modified Greenwood statistic
• Tail similarity
• Modified Greenwood statistic for multivariate Pareto and Student's t distributions in application to statistical testing
• Extreme risk decision modeling: a new approach with an application to air pollution based on PM2.5
• Efficient likelihood-based inference for the generalized Pareto distribution
• Asymptotic properties of maximum likelihood estimators for a generalized Pareto-type distribution

Describes a project that uses

Uses Software

• ismev
• plfit
• BRENT
• QRM

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