Parameter estimation for 2-parameter generalized Pareto distribution by POME

DOI10.1007/BF02427916MaRDI QIDQ1369696zbMATH OpenOpenAlexFDO

Authors J. Ning

Publication date 22 June 1998

Published in Stochastic Hydrology and Hydraulics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02427916

zbMATH Keywords

maximum likelihood estimationgeneralized Pareto distributionprinciple of maximum entropyprobability weighted momentsmethods of moments

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Point estimation (62F10) Monte Carlo methods (65C05)

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Cites work

• 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 3733803 (Why is no real title available?)
• A Mathematical Theory of Communication
• Best unbiased estimators for the parameters of a two-parameter Pareto distribution
• Computation of visco-resistive MHD instabilities
• Estimating tails of probability distributions
• Estimating the stable index in order to measure tail thickness: a critique
• Estimation of quantiles of the maximum of N observations
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Prior Probabilities
• Statistical inference using extreme order statistics
• The first and the second e of the extreme value distribution, EV1

Cited in

(7)

• A comparative evaluation of the estimators of the three-parameter generalized pareto distribution
• Estimation of the exponential Pareto II distribution parameters
• Quasi-conjugate Bayes estimates for GPD parameters and application to heavy tails modelling
• On the use of the peaks over thresholds method for estimating out-of-sample quantiles.
• Parameter estimation for 3-parameter log-logistic distribution (LLD3) by POME
• The \(q\)-exponentials do not maximize the Rényi entropy
• Extreme Value Theory and Statistics of Univariate Extremes: A Review

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