Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution
DOI10.1080/03610926.2014.887104zbMATH Open1341.62077OpenAlexW1484514907MaRDI QIDQ2811451FDOQ2811451
Authors: David E. Giles, Hui Feng, Ryan T. Godwin 
Publication date: 10 June 2016
Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)
Full work available at URL: http://www.uvic.ca/socialsciences/economics/assets/docs/econometrics/ewp0902.pdf
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maximum likelihoodparametric bootstrapbias reductiongeneralized Pareto distributionextreme valuespeaks over threshold
Point estimation (62F10) Bootstrap, jackknife and other resampling methods (62F40) Estimation in survival analysis and censored data (62N02) Reliability and life testing (62N05)
Cites Work
- Bias reduction of maximum likelihood estimates
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- Statistical inference using extreme order statistics
- Maximum likelihood estimation in a class of nonregular cases
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- Bias correction in ARMA models
- Fitting the generalized Pareto distribution to data using maximum goodness-of-fit estimators
- An application of extreme value theory for measuring financial risk
- LIKELIHOOD MOMENT ESTIMATION FOR THE GENERALIZED PARETO DISTRIBUTION
- THE SAMPLING DISTRIBUTION OF A MAXIMUM-LIKELIHOOD ESTIMATE
- Parameter estimation of the generalized Pareto distribution. I
- Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database
- Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view
- Modelling the financial risk associated with U.S. Movie box office earnings
- Estimation of the generalized Pareto distribution
- Statistical Inference for the Generalized Pareto Distribution: Maximum Likelihood Revisited
- On the Bias of the Maximum Likelihood Estimator for the Two-Parameter Lomax Distribution
- Bias Reduction for the Maximum Likelihood Estimators of the Parameters in the Half-Logistic Distribution
Cited In (12)
- Efficient likelihood-based inference for the generalized Pareto distribution
- Improved inference on risk measures for univariate extremes
- Two-sided variable inspection plans for arbitrary continuous populations with unknown distribution
- Bias correction in the type I generalized logistic distribution
- Improved parameter estimation of the log-logistic distribution with applications
- Analytic bias correction for maximum likelihood estimators when the bias function is non-constant
- Bias and size corrections in extreme value modeling
- On the Bias of the Maximum Likelihood Estimator for the Two-Parameter Lomax Distribution
- Progressive type-II hybrid censored schemes based on maximum product spacing with application to power Lomax distribution
- Bias corrected maximum likelihood estimators under progressive type-I interval censoring scheme
- bccp: an R package for life-testing and survival analysis
- Statistical Inference for the Generalized Pareto Distribution: Maximum Likelihood Revisited
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