Parameter and quantile estimation for the generalized Pareto distribution in peaks over threshold framework

DOI10.1016/J.JKSS.2017.02.003MaRDI QIDQ1674040zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

generalized Pareto distributionHill estimatormaximum likelihood estimatorpeaks over thresholdnonlinear least squares

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

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Cites work

• A hybrid estimator for generalized pareto and extreme-value distributions
• A new hybrid estimation method for the generalized Pareto distribution
• A simple general approach to inference about the tail of a distribution
• Estimating extreme tail risk measures with generalized Pareto distribution
• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
• Fitting the Generalized Pareto Distribution to Data
• LIKELIHOOD MOMENT ESTIMATION FOR THE GENERALIZED PARETO DISTRIBUTION
• Likelihood inference for generalized Pareto distribution
• On the block maxima method in extreme value theory: PWM estimators
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Residual life time at great age
• Statistical inference using extreme order statistics
• Sur la distribution limite du terme maximum d'une série aléatoire
• Threshold selection in extreme value analysis

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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