Parameter and quantile estimation for the generalized Pareto distribution in peaks over threshold framework
DOI10.1016/J.JKSS.2017.02.003zbMATH Open1390.62081OpenAlexW2597218230MaRDI QIDQ1674040FDOQ1674040
Authors: Suyeon Kang, Jongwoo Song 
Publication date: 1 November 2017
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jkss.2017.02.003
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generalized Pareto distributionHill estimatormaximum likelihood estimatorpeaks over thresholdnonlinear least squares
Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)
Cites Work
- Statistical inference using extreme order statistics
- Residual life time at great age
- A simple general approach to inference about the tail of a distribution
- Sur la distribution limite du terme maximum d'une série aléatoire
- Parameter and Quantile Estimation for the Generalized Pareto Distribution
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- Threshold selection in extreme value analysis
- LIKELIHOOD MOMENT ESTIMATION FOR THE GENERALIZED PARETO DISTRIBUTION
- Fitting the Generalized Pareto Distribution to Data
- On the block maxima method in extreme value theory: PWM estimators
- A hybrid estimator for generalized pareto and extreme-value distributions
- Likelihood inference for generalized Pareto distribution
- Estimating extreme tail risk measures with generalized Pareto distribution
- A new hybrid estimation method for the generalized Pareto distribution
Cited In (9)
- Peaks-over-threshold stability of multivariate generalized Pareto distributions
- A simulation-based hyperparameter selection for quantile estimation of the generalized extreme value distribution
- Upper record values from the generalized Pareto distribution and associated statistical inference
- Generalized Pareto approximation for a distribution in the Fréchet or Gumbel domain of attraction: Relative approximation error of a high quantile
- A review of more than one hundred Pareto-tail index estimators
- Functional regular variations, Pareto processes and peaks over threshold
- Shrinkage methods for estimating the shape parameter of the generalized Pareto distribution
- Extreme tail risk estimation with the generalized Pareto distribution under the peaks-over-threshold framework
- A distributed quantile estimation algorithm of heavy-tailed distribution with massive datasets
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