Estimation of the generalized Pareto distribution

DOI10.1016/J.SPL.2008.10.021zbMATH Open1156.62313OpenAlexW2006331849MaRDI QIDQ1007361FDOQ1007361

Authors: Joan del Castillo, Jalila Daoudi 

Publication date: 20 March 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.10.021

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Mathematics Subject Classification ID

Point estimation (62F10)

Cites Work

• An introduction to statistical modeling of extreme values
• Statistical inference using extreme order statistics
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• Maximum likelihood estimation in a class of nonregular cases
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• The singly truncated normal distribution: A non-steep exponential family
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Extreme Values in Finance, Telecommunications, and the Environment
• Fitting the Generalized Pareto Distribution to Data

Cited In (21)

• Minimum and maximum information censoring plans in progressive censoring
• Estimation of Gini index of the Pareto distribution
• Estimation of the shape parameter of a generalized Pareto distribution based on a transformation to Pareto distributed variables
• Fitting the Generalized Pareto Distribution to Data
• Fitting Distribution to Data by a Generalized Nonlinear Least Squares Method
• Likelihood inference for generalized Pareto distribution
• Estimation for the generalized Pareto distribution using maximum likelihood and goodness of fit
• Estimation of the Quantiles of PARETO'S Distribution
• Generalized Pareto approximation for a distribution in the Fréchet or Gumbel domain of attraction: Relative approximation error of a high quantile
• Bayesian approach to parameter estimation of the generalized Pareto distribution
• Progressively type-II censored competing risks data from Lomax distributions
• Robust estimation of the generalized Pareto distribution
• Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution
• DEVELOPING GENERALIZED LINEAR MODEL OF GAMMA-PARETO DISTRIBUTION
• Generalizing the Pareto to the log-Pareto model and statistical inference
• A Median Regression Model to Estimate the Parameters of the Three-Parameter Generalized Pareto Distribution
• Title not available (Why is that?)
• Methods to Distinguish Between Polynomial and Exponential Tails
• Title not available (Why is that?)
• LIKELIHOOD MOMENT ESTIMATION FOR THE GENERALIZED PARETO DISTRIBUTION
• A general estimator for the right endpoint with an application to supercentenarian women's records

Uses Software

• ismev

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