LIKELIHOOD MOMENT ESTIMATION FOR THE GENERALIZED PARETO DISTRIBUTION

DOI10.1111/j.1467-842X.2006.00464.xzbMath1117.62023OpenAlexW2034876089MaRDI QIDQ3592374

Jin Zhang

Publication date: 13 September 2007

Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-842x.2006.00464.x

zbMATH Keywords

asymptotic efficiencymoment estimationprobability-weighted moment

Mathematics Subject Classification ID

Point estimation (62F10)

Related Items (23)

Fitting the generalized Pareto distribution to data based on transformations of order statistics ⋮ On consistency of the likelihood moment estimators for a linear process with regularly varying innovations ⋮ Likelihood inference for generalized Pareto distribution ⋮ A Jensen-Gini measure of divergence with application in parameter estimation ⋮ Estimating extreme tail risk measures with generalized Pareto distribution ⋮ Extreme tail risk estimation with the generalized Pareto distribution under the peaks-over-threshold framework ⋮ Parameter and quantile estimation for the generalized Pareto distribution in peaks over threshold framework ⋮ Correcting Certain Estimation Methods for the Generalized Pareto Distribution ⋮ Statistical inferences for generalized Pareto distribution based on interior penalty function algorithm and bootstrap methods and applications in analyzing stock data ⋮ A distributed quantile estimation algorithm of heavy-tailed distribution with massive datasets ⋮ Asymptotic normality of the likelihood moment estimators for a stationary linear process with heavy-tailed innovations ⋮ A Median Regression Model to Estimate the Parameters of the Three-Parameter Generalized Pareto Distribution ⋮ Bias and size corrections in extreme value modeling ⋮ Estimation for the Generalized Pareto Distribution Using Maximum Likelihood and Goodness of Fit ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ A bootstrap goodness of fit test for the generalized Pareto distribution ⋮ Empirical likelihood based confidence regions for first order parameters of heavy-tailed distribu\-tions ⋮ Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution ⋮ Confidence intervals of the generalized Pareto distribution parameters based on upper record values ⋮ Generalised smooth tests for the generalised Pareto distribution ⋮ Two-sided variable inspection plans for arbitrary continuous populations with unknown distribution ⋮ Bayesian and non-Bayesian inference for the generalized Pareto distribution based on progressive type II censored sample ⋮ Optimally robust estimators in generalized Pareto models

Uses Software

• AS 215

Cites Work

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• Statistical inference using extreme order statistics
• Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. With comments and a rejoinder by the author
• Bayesian Estimation and Prediction for Pareto Data
• Maximum likelihood estimation in a class of nonregular cases
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Fitting the Generalized Pareto Distribution to Data
• A hybrid estimator for generalized pareto and extreme-value distributions
• Powerful Goodness-of-fit Tests Based on the Likelihood Ratio
• Computing Maximum Likelihood Estimates for the Generalized Pareto Distribution

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