A Median Regression Model to Estimate the Parameters of the Three-Parameter Generalized Pareto Distribution

DOI10.1080/03610918.2011.595868zbMATH Open1294.62042OpenAlexW2034364033MaRDI QIDQ4906435FDOQ4906435

Authors J. Martin van Zyl 

Publication date 11 February 2013

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2011.595868

Mathematics Subject Classification ID

Point estimation (62F10)

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Cites work

• scientific article; zbMATH DE number 699423 (Why is no real title available?)
• scientific article; zbMATH DE number 941484 (Why is no real title available?)
• Estimation of the generalized Pareto distribution
• How to make a Hill plot.
• Introduction to Time Series and Forecasting
• 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
• Parameter estimation of the generalized Pareto distribution. I
• Parameter estimation of the generalized Pareto distribution. II
• Statistical inference using extreme order statistics

Cited in

(3)

• A review of more than one hundred Pareto-tail index estimators
• Estimation of the shape parameter of a generalized Pareto distribution based on a transformation to Pareto distributed variables
• Heavy tail index estimator through weighted least-squares rank regression

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