Confidence intervals of the generalized Pareto distribution parameters based on upper record values
The paper presented a brief literature review of parameter estimation in the context of the generalized Pareto distribution. The authors presented a new approach to construct confidence intervals for the location and scale parameters of the generalized Pareto distribution, when the shape parameter is known. Furthermore, the authors also did a short simulation study, under several values of the shape parameter and confidence levels, comparing the proposed method with the Edgeworth's approximation method, for the interval estimation of the position and scale parameters of the generalized Pareto distribution. Right after the simulation study, an application is made to real data, more specifically to flood data. The great advantage of the proposed method is that the distributions of pivotal quantities used to build confidence intervals are exact.
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- Linear prediction of record values for the two parameter exponential distribution
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- Parameter and Quantile Estimation for the Generalized Pareto Distribution
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- Relations, bounds and approximations for order statistics
- Statistical inference using extreme order statistics
- The future occurrence of records
- Generalized fiducial confidence intervals for extremes
- Interval estimation of location and scale parameters based on record values
- Confidence intervals and accuracy estimation for heavy-tailed generalized Pareto distributions
- Maximum likelihood estimation from record-breaking data for the generalized Pareto distribution
- Interval estimation for the two-parameter Pareto distribution based on record values
- Generalized confidence interval of quantile from Gumbel distribution
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- Record values from generlized Pareto distribution and associated inference.
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