Parameter and Quantile Estimation for the Generalized Pareto Distribution
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(only showing first 100 items - show all)- A two-step estimator of the extreme value index
- Estimation of the generalized Pareto distribution
- Fitting the generalized Pareto distribution to data using maximum goodness-of-fit estimators
- A small sample comparison of maximum likelihood, moments and \(L\)-moments methods for the asymmetric exponential power distribution
- Goodness of fit of probability distributions for sightings as species approach extinction
- Asymptotic expansions for the distribution functions of Pickands-type estimators
- A simple robust estimation method for the thickness of heavy tails
- Generalized fiducial confidence intervals for extremes
- A method for estimating parameters and quantiles of distributions of continuous random variables
- Maximum product of spacings estimators for the generalized Pareto and log-logistic distributions
- Parameter estimation for 2-parameter generalized Pareto distribution by POME
- Bayesian approach to parameter estimation of the generalized Pareto distribution
- On a generalized Pickands estimator of the extreme value index
- On the use of the peaks over thresholds method for estimating out-of-sample quantiles.
- An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators.
- Likelihood inference for generalized Pareto distribution
- A peak-over-threshold search method for global optimization
- A new probability model for hydrologic events: properties and applications
- Estimating extreme tail risk measures with generalized Pareto distribution
- Parameter and quantile estimation for the generalized Pareto distribution in peaks over threshold framework
- Detecting distributional changes in samples of independent block maxima using probability weighted moments
- Some cubic rank transmuted distributions
- Shape measures based on the convex transform order
- Asymptotic normality of the likelihood moment estimators for a stationary linear process with heavy-tailed innovations
- Approximation of the distribution of excesses using a generalized probability weighted moment method
- INLA goes extreme: Bayesian tail regression for the estimation of high spatio-temporal quantiles
- Selecting the optimal sample fraction in univariate extreme value estimation
- Optimal rates of convergence for estimates of the extreme value index
- Moment estimator for random vectors with heavy tails
- Effect of extrapolation on coverage accuracy of prediction intervals computed from Pareto-type data
- A new look at probability-weighted moments estimators
- LAN of extreme order statistics
- On testing the extreme value index via the POT-method
- Estimating an endpoint with high-order moments
- Estimating a tail exponent by modelling departure from a Pareto distribution
- A distributed quantile estimation algorithm of heavy-tailed distribution with massive datasets
- Improved inference for the generalized Pareto distribution
- Estimation and prediction for power Lindley distribution under progressively type II right censored samples
- Parameter estimation for one-sided heavy-tailed distributions
- Data fusion for uncertainty quantification with non-intrusive polynomial chaos
- Adjusted extreme conditional quantile autoregression with application to risk measurement
- The coupling method in extreme value theory
- A shared spatial model for multivariate extreme-valued binary data with non-random missingness
- A test procedure for distinguishing logarithmically decaying tail from polynomially decaying tail
- Improved inference on risk measures for univariate extremes
- Maximum likelihood estimation of asymmetric double type II Pareto distributions
- Forecasting value-at-risk with a duration-based POT method
- Calibration of numerical model output using nonparametric spatial density functions
- Parameter estimation of the generalized Pareto distribution. I
- A matching prior for extreme quantile estimation of the generalized Pareto distribution
- Extreme-value-theoretic estimation of local intrinsic dimensionality
- Confidence intervals of the generalized Pareto distribution parameters based on upper record values
- Ridge regression estimators for the extreme value index
- The Kumaraswamy Birnbaum-Saunders distribution
- Credit risk and solvency capital requirements
- Generalised smooth tests for the generalised Pareto distribution
- Two-sided variable inspection plans for arbitrary continuous populations with unknown distribution
- On the block maxima method in extreme value theory: PWM estimators
- On consistency of the likelihood moment estimators for a linear process with regularly varying innovations
- Bias correction in extreme value statistics with index around zero
- Divergence based robust estimation of the tail index through an exponential regression model
- Maximum likelihood estimators based on the block maxima method
- A review on consistency and robustness properties of support vector machines for heavy-tailed distributions
- Semi-parametric probability-weighted moments estimation revisited
- Extreme-quantile tracking for financial time series
- Accounting for the threshold uncertainity in extreme value estimation
- Bias-reduced extreme quantile estimators of Weibull tail-distributions
- Robust and efficient estimation for the generalized Pareto distribution
- Quasi-conjugate Bayes estimates for GPD parameters and application to heavy tails modelling
- On robustness of large quantile estimates of log-Gumbel and log-logistic distributions to largest elements of the observation series: Monte Carlo results vs. first order approximation.
- Partially smooth tail-index estimation for small samples
- On adjusted method of moments estimators on uniform distribution samples
- Some theory and practical uses of trimmed \(L\)-moments
- On the extremal behavior of a Pareto process: an alternative for ARMAX modeling
- A local moment type estimator for the extreme value index in regression with random covariates
- Estimation for the generalized Pareto distribution using maximum likelihood and goodness of fit
- How fast can the chord length distribution decay?
- Workload portfolio optimization for virtualized computer systems based on semiparametric quantile function estimation
- Efficiency of convex combinations of pickands estimator of the extreme value index
- Projection Mean–Variance Bounds on Expectations ofkth Record Values from Restricted Families
- Data-Transformation and Test of Fit for the Generalized Pareto Hypothesis
- A log probability weighted moment estimator of extreme quantiles
- Weak properties and robustness of t-Hill estimators
- LIKELIHOOD MOMENT ESTIMATION FOR THE GENERALIZED PARETO DISTRIBUTION
- Statistics of extremes in climatology
- A unification of tail estimators
- The maximum \(L_q\)-likelihood method: an application to extreme quantile estimation in finance
- Extreme value statistics and wind storm losses: A case study
- Statistical inferences for generalized Pareto distribution based on interior penalty function algorithm and bootstrap methods and applications in analyzing stock data
- Refined pickands estimators wtth bias correction
- Asymptotic behaviour of the probability-weighted moments and penultimate approximation
- Semiparametric estimation of extremes
- Estimation of extreme quantiles from heavy and light tailed distributions
- BETA-NORMAL DISTRIBUTION AND ITS APPLICATIONS
- Odd Pareto families of distributions for modeling loss payment data
- Correcting certain estimation methods for the generalized Pareto distribution
- Parameter estimation for three-parameter generalized Pareto distribution by weighted non linear least squares
- A class of semi-parametric probability weighted moment estimators
- Trend in high tropospheric ozone levels. Application to paris monitoring sites
- Estimation of the generalized lambda distribution from censored data
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