Estimation for the Generalized Pareto Distribution Using Maximum Likelihood and Goodness of Fit

DOI10.1080/03610920903324874zbMath1218.62011MaRDI QIDQ3017861

Mathias Raschke, Deyuan Li, Juerg Hüsler

Publication date: 20 July 2011

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

Full work available at URL: https://doi.org/10.1080/03610920903324874

zbMATH Keywords

asymptotic distribution

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

60F05: Central limit and other weak theorems

62F10: Point estimation

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Opportunities of the minimum Anderson–Darling estimator as a variant of the maximum likelihood method, Parameter Estimation for the Tail Distribution of a Random Sequence, Extreme value index estimator using maximum likelihood and moment estimation, Unnamed Item, Asymptotic normality of the likelihood moment estimators for a stationary linear process with heavy-tailed innovations, Bayesian and non-Bayesian inference for the generalized Pareto distribution based on progressive type II censored sample, On consistency of the likelihood moment estimators for a linear process with regularly varying innovations

Cites Work

• Existence and consistency of the maximum likelihood estimator for the extreme value index
• Statistical inference using extreme order statistics
• LIKELIHOOD MOMENT ESTIMATION FOR THE GENERALIZED PARETO DISTRIBUTION
• Maximum likelihood estimation in a class of nonregular cases
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Computing Maximum Likelihood Estimates for the Generalized Pareto Distribution