Fitting the generalized Pareto distribution to data using maximum goodness-of-fit estimators

DOI10.1016/J.CSDA.2005.09.011zbMATH Open1157.62399OpenAlexW2068833365MaRDI QIDQ1010433FDOQ1010433

Authors: Alberto Luceño 

Publication date: 6 April 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2005.09.011

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zbMATH Keywords

empirical distribution functiongeneralized linear modelsAnderson-Darling statisticKolmogorov distanceminimum distance estimatorCramer-von Mises statistic

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Order statistics; empirical distribution functions (62G30)

Cites Work

• An introduction to statistical modeling of extreme values
• Linear Statistical Inference and its Applications
• Statistical inference using extreme order statistics
• Title not available (Why is that?)
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Title not available (Why is that?)
• The Minimum Distance Method
• On Tests of Normality and Other Tests of Goodness of Fit Based on Distance Methods
• Computing Maximum Likelihood Estimates for the Generalized Pareto Distribution
• Fitting the Generalized Pareto Distribution to Data
• The minimum distance method of testing
• Estimation by the minimum distance method

Cited In (38)

• The quasi xgamma-geometric distribution with application in medicine
• Alpha power transformed inverse Lomax distribution with different methods of estimation and applications
• Fitting the Generalized Pareto Distribution to Data
• Poisson-exponential distribution: different methods of estimation
• The extended Weibull-Fréchet distribution: properties, inference, and applications in medicine and engineering
• Likelihood inference for generalized Pareto distribution
• Box-Cox symmetric distributions and applications to nutritional data
• Estimation for the generalized Pareto distribution using maximum likelihood and goodness of fit
• Optimally robust estimators in generalized Pareto models
• Goodness-of-fit tests and minimum distance estimation via optimal transformation to uniform\-ity
• Transmuted inverse Xgamma distribution: statistical properties, classical estimation methods and data modeling
• A computational approach to confidence intervals and testing for generalized Pareto index using the Greenwood statistic
• Extended Gumbel type-2 distribution: properties and applications
• Comparison of estimation methods for inverse Weibull distribution
• Weighted generalized quasi Lindley distribution: different methods of estimation, applications for Covid-19 and engineering data
• NEYMAN SMOOTH TESTS FOR 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
• A new approach to estimate parameters of the two-parameter Weibull distribution
• Data-Transformation and Test of Fit for the Generalized Pareto Hypothesis
• Opportunities of the minimum Anderson-Darling estimator as a variant of the maximum likelihood method
• Extreme Value Theory and Statistics of Univariate Extremes: A Review
• A global optimisation approach for parameter estimation of a mixture of double Pareto lognormal and lognormal distributions
• The gamma-Gompertz distribution: theory and applications
• A new hybrid estimation method for the generalized Pareto distribution
• Predicting the Tail Behavior of Financial Times Stock Exchange/Johannesburg Stock Exchange (FTSE/JSE) Closing Banking Indices: Extreme Value Theory Approach
• A bootstrap goodness of fit test for the generalized Pareto distribution
• Maximum likelihoodvs. maximum goodness of fit estimation of the three-parameter Weibull distribution
• Exponential-Poisson distribution: estimation and applications to rainfall and aircraft data with zero occurrence
• The Marshall-Olkin extended gamma Lindley distribution: properties, characterization and inference
• Power Burr X-T family of distributions: properties, estimation methods and real-life applications
• Comparison of estimation methods for the Marshall-Olkin extended Lindley distribution
• The generalized weighted Lindley distribution: properties, estimation, and applications
• Power laws, the price model, and the Pareto type-2 distribution
• Different estimation procedures for the parameters of the extended exponential geometric distribution for medical data
• On modified Anderson-Darling test statistics with asymptotic properties
• Comparison of different estimation methods for the inverse weighted Lindley distribution
• A comparative review of generalizations of the Gumbel extreme value distribution with an application to wind speed data

Uses Software

• ismev

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