Fitting the generalized Pareto distribution to data using maximum goodness-of-fit estimators
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Publication:1010433
DOI10.1016/j.csda.2005.09.011zbMath1157.62399OpenAlexW2068833365MaRDI QIDQ1010433
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
Kolmogorov distanceempirical distribution functiongeneralized linear modelsminimum distance estimatorAnderson-Darling statisticCramer-von Mises statistic
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Uses Software
Cites Work
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- The minimum distance method of testing
- Statistical inference using extreme order statistics
- Estimation by the minimum distance method
- On Tests of Normality and Other Tests of Goodness of Fit Based on Distance Methods
- The Minimum Distance Method
- Parameter and Quantile Estimation for the Generalized Pareto Distribution
- Fitting the Generalized Pareto Distribution to Data
- Computing Maximum Likelihood Estimates for the Generalized Pareto Distribution
- Linear Statistical Inference and its Applications
- An introduction to statistical modeling of extreme values
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