Parametric Estimates in a Generalized Pareto Distribution

DOI10.1080/02522667.1995.10699227MaRDI QIDQ4718632zbMATH OpenOpenAlexFDO

Authors Jungsoo Woo, M. Masoom Ali

Publication date 8 December 1996

Published in Journal of Information and Optimization Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02522667.1995.10699227

zbMATH Keywords

biasesgeneralized Pareto distributionmean square errorsmoment estimatesMonte Carlo methodright-tail probabilityscaleshapesimulations

Mathematics Subject Classification ID

Point estimation (62F10)

Recommendations

• The mean and right-tail probability estimation in a Pareto distribution
• Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution
• LIKELIHOOD MOMENT ESTIMATION FOR THE GENERALIZED PARETO DISTRIBUTION
• Fitting the Generalized Pareto Distribution to Data

Cites work

• Estimating tails of probability distributions
• Statistical inference using extreme order statistics

Cited in

(8)

• Bayesian approach to parameter estimation of the generalized Pareto distribution
• Robust estimation of the generalized Pareto distribution
• On the ABLUE of the scale parameter of the generalized Pareto distribution.
• Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution
• Estimation of the upper cutoff parameter for the tapered Pareto distribution
• Fitting the Generalized Pareto Distribution to Data
• The mean and right-tail probability estimation in a Pareto distribution
• A Median Regression Model to Estimate the Parameters of the Three-Parameter Generalized Pareto Distribution

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