A comparative evaluation of the estimators of the three-parameter generalized pareto distribution

DOI10.1080/0094965031000110579zbMath1048.62028OpenAlexW1986373600MaRDI QIDQ4825494

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Publication date: 28 October 2004

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/0094965031000110579

zbMATH Keywords

tablesMonte Carlo simulationmaximum likelihoodmethod of momentsprobability weighted moments

Mathematics Subject Classification ID

Point estimation (62F10) Monte Carlo methods (65C05) Factorial statistical designs (62K15)

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Zero-inflated truncated generalized Pareto distribution for the analysis of radio audience data ⋮ Parameter estimation of the generalized Pareto distribution. I ⋮ Parameter estimation of the generalized Pareto distribution. II

Cites Work

• The first and the second e of the extreme value distribution, EV1
• Estimating tails of probability distributions
• Statistical inference using extreme order statistics
• Parameter estimation for 2-parameter generalized Pareto distribution by POME
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Estimation of quantiles of the maximum of N observations
• Prior Probabilities