Confidence intervals of the generalized Pareto distribution parameters based on upper record values

DOI10.1007/S10255-019-0860-4MaRDI QIDQ2300533zbMATH OpenOpenAlexWikidataFDO

Authors Xu Zhao, Wei-hu Cheng, Yang Zhang, Shao-Jie Wei, Zhenhai Yang

Publication date 27 February 2020

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10255-019-0860-4

zbMATH Keywords

confidence intervalgeneralized Pareto distributionrecord valuesupper record valuesleast squares estimatorequal probability density principleflood data

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Asymptotic properties of parametric estimators (62F12) Parametric tolerance and confidence regions (62F25) Applications of statistics to environmental and related topics (62P12) Order statistics; empirical distribution functions (62G30)

Recommendations

• Record values from generlized Pareto distribution and associated inference.
• Confidence intervals and accuracy estimation for heavy-tailed generalized Pareto distributions
• Interval estimation for the two-parameter Pareto distribution based on record values
• Inference Based on Order Statistics from the Generalized Pareto Distribution and Application
• Maximum likelihood estimation from record-breaking data for the generalized Pareto distribution

Cites work

• scientific article; zbMATH DE number 4153678 (Why is no real title available?)
• scientific article; zbMATH DE number 49622 (Why is no real title available?)
• scientific article; zbMATH DE number 699423 (Why is no real title available?)
• scientific article; zbMATH DE number 1031920 (Why is no real title available?)
• scientific article; zbMATH DE number 3074531 (Why is no real title available?)
• Estimation and prediction from inverse Rayleigh distribution based on lower record values
• Inference on the Weibull distribution based on record values
• Inferences for generalized exponential distribution based on record statistics
• LIKELIHOOD MOMENT ESTIMATION FOR THE GENERALIZED PARETO DISTRIBUTION
• Likelihood inference for generalized Pareto distribution
• Linear prediction of record values for the two parameter exponential distribution
• Maximum likelihood estimation in a class of nonregular cases
• On the normal record values and associated inference
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Record values from generlized Pareto distribution and associated inference.
• Relations, bounds and approximations for order statistics
• Statistical inference using extreme order statistics
• The future occurrence of records

Cited in

(8)

• scientific article; zbMATH DE number 6161621 (Why is no real title available?)
• Maximum likelihood estimation from record-breaking data for the generalized Pareto distribution
• Record values from generlized Pareto distribution and associated inference.
• Generalized fiducial confidence intervals for extremes
• Generalized confidence interval of quantile from Gumbel distribution
• Interval estimation for the two-parameter Pareto distribution based on record values
• Confidence intervals and accuracy estimation for heavy-tailed generalized Pareto distributions
• Interval estimation for Gumbel distribution using climate records

Describes a project that uses

Uses Software

• LMOMENTS

This page was built for publication: Confidence intervals of the generalized Pareto distribution parameters based on upper record values

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2300533)