A new hybrid estimation method for the generalized pareto distribution

DOI10.1080/03610926.2014.919399zbMath1346.62044OpenAlexW2398886085MaRDI QIDQ2816876

Gemai Chen, Chunlin Wang

Publication date: 26 August 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://figshare.com/articles/journal_contribution/A_New_Hybrid_Estimation_Method_for_the_Generalized_Pareto_Distribution/1600883

zbMATH Keywords

extreme valuesmaximum likelihood estimatorminimum distance estimatormaximum goodness-of-fit estimatorparameter profiling

Mathematics Subject Classification ID

Point estimation (62F10) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (2)

Parameter and quantile estimation for the generalized Pareto distribution in peaks over threshold framework ⋮ A review of more than one hundred Pareto-tail index estimators

Cites Work

• Fitting the generalized Pareto distribution to data using maximum goodness-of-fit estimators
• Statistical inference using extreme order statistics
• Bootstrap methods: another look at the jackknife
• Maximum likelihood estimation in a class of nonregular cases
• A hybrid estimator for generalized pareto and extreme-value distributions

This page was built for publication: A new hybrid estimation method for the generalized pareto distribution