Computing Maximum Likelihood Estimates for the Generalized Pareto Distribution

DOI10.2307/1269663zbMATH Open0775.62054OpenAlexW4255884202MaRDI QIDQ4694635FDOQ4694635

Scott D. Grimshaw

Publication date: 6 September 1993

Full work available at URL: https://doi.org/10.2307/1269663

Mathematics Subject Classification ID

Point estimation (62F10) Probabilistic methods, stochastic differential equations (65C99)

Cited In (56)

• A modeler's guide to extreme value software
• Outlier detection in network revenue management
• Tail inference using extreme U-statistics
• Statistical performance of local attractor dimension estimators in non-axiom a dynamical systems
• A survey of a hurdle model for heavy-tailed data based on the generalized lambda distribution
• Extreme value theory in medical sciences: modeling total high cholesterol levels
• Efficient likelihood-based inference for the generalized Pareto distribution
• The maximum \(L_q\)-likelihood method: an application to extreme quantile estimation in finance
• A Jensen-Gini measure of divergence with application in parameter estimation
• Monitoring number of non-conforming items based on multiple dependent state repetitive sampling under truncated life tests
• Opportunities of the minimum Anderson–Darling estimator as a variant of the maximum likelihood method
• Two-sided variable inspection plans for arbitrary continuous populations with unknown distribution
• Estimation of the shape parameter of a generalized Pareto distribution based on a transformation to Pareto distributed variables
• Estimation of statistical measures of income similarity
• An extension of the generalized exponential distribution
• Fitting the generalized Pareto distribution to data based on transformations of order statistics
• An application of extreme value theory for measuring financial risk
• Optimum constant-stress life test plans for Pareto distribution under type-I censoring
• Likelihood inference for generalized Pareto distribution
• On maximum likelihood estimation of the extreme value index.
• An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators.
• Quasi-conjugate Bayes estimates for GPD parameters and application to heavy tails modelling
• On the use of the peaks over thresholds method for estimating out-of-sample quantiles.
• Workload Portfolio Optimization for Virtualized Computer Systems Based on Semiparametric Quantile Function Estimation
• Bayesian survival estimation of Pareto distribution of the second kind based on failure-censored data.
• Extreme-value-theoretic estimation of local intrinsic dimensionality
• On consistency of the likelihood moment estimators for a linear process with regularly varying innovations
• Bayesian approach to parameter estimation of the generalized Pareto distribution
• Existence and consistency of the maximum likelihood estimator for the extreme value index
• NEYMAN SMOOTH TESTS FOR THE GENERALIZED PARETO DISTRIBUTION
• Analytic bias correction for maximum likelihood estimators when the bias function is non-constant
• A method for estimating parameters and quantiles of distributions of continuous random variables
• Modeling cancer detection: Tumor size as a source of information on unobservable stages of carcinogenesis
• The extent of the maximum likelihood estimator for the extreme value index
• Estimation for the Generalized Pareto Distribution Using Maximum Likelihood and Goodness of Fit
• Pareto Poisson–Lindley distribution with applications
• Estimating extreme tail risk measures with generalized Pareto distribution
• Data-Transformation and Test of Fit for the Generalized Pareto Hypothesis
• Extreme Value Theory and Statistics of Univariate Extremes: A Review
• Effect of extrapolation on coverage accuracy of prediction intervals computed from Pareto-type data
• Fitting the generalized Pareto distribution to data using maximum goodness-of-fit estimators
• The contribution of the maximum to the sum of excesses for testing max-domains of attraction
• Title not available (Why is that?)
• Tail index estimation for heavy tails; accommodation of bias in the excesses over a high threshold
• Exponentiated generalized Pareto distribution: Properties and applications towards extreme value theory
• Extreme tail risk estimation with the generalized Pareto distribution under the peaks-over-threshold framework
• Estimation for the generalized pareto distribution with censored data
• Generalised smooth tests for the generalised Pareto distribution
• LIKELIHOOD MOMENT ESTIMATION FOR THE GENERALIZED PARETO DISTRIBUTION
• Parameter estimation of the generalized Pareto distribution. I
• A general estimator for the right endpoint with an application to supercentenarian women's records
• A two-step estimator of the extreme value index
• A default Bayesian procedure for the generalized Pareto distribution
• A control chart for time truncated life tests using Pareto distribution of second kind
• Design of an attribute np control chart for process monitoring based on repetitive group sampling under truncated life tests
• Comparisons of methods of estimation for a pareto distribution of the first kind

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