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

Mathematics Subject Classification ID

Point estimation (62F10)

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Cites Work

• scientific article; zbMATH DE number 5604057 (Why is no real title available?)
• scientific article; zbMATH DE number 4159879 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• An introduction to statistical modeling of extreme values
• Extreme Values in Finance, Telecommunications, and the Environment
• Fitting the Generalized Pareto Distribution to Data
• Maximum likelihood estimation in a class of nonregular cases
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Statistical inference using extreme order statistics
• The singly truncated normal distribution: A non-steep exponential family

Cited In (23)

• 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
• 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
• Methods to distinguish between polynomial and exponential tails
• Generalized Pareto approximation for a distribution in the Fréchet or Gumbel domain of attraction: Relative approximation error of a high quantile
• A computational approach to confidence intervals and testing for generalized Pareto index using the Greenwood statistic
• 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
• Fitting distribution to data by a generalized nonlinear least squares method
• Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution
• DEVELOPING GENERALIZED LINEAR MODEL OF GAMMA-PARETO DISTRIBUTION
• Generalized Pareto distributions, image statistics and autofocusing in automated microscopy
• 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 no real title available?)
• Improved inference for the generalized Pareto distribution
• 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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