Statistical Inference for the Generalized Pareto Distribution: Maximum Likelihood Revisited

DOI10.1080/03610920500501429zbMATH Open1094.62023OpenAlexW2050186062MaRDI QIDQ5484667FDOQ5484667

Authors: Ali Chaouche, Jean-Noel Bacro 

Publication date: 21 August 2006

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

Full work available at URL: https://doi.org/10.1080/03610920500501429

Recommendations

• Likelihood inference for generalized Pareto distribution
• Estimation for the generalized Pareto distribution using maximum likelihood and goodness of fit
• On the maximum likelihood estimators for some generalized Pareto-like frequency distribution
• Efficient likelihood-based inference for the generalized Pareto distribution
• Asymptotic properties of maximum likelihood estimators for a generalized Pareto-type distribution
• Maximum likelihood estimation from record-breaking data for the generalized Pareto distribution
• LIKELIHOOD MOMENT ESTIMATION FOR THE GENERALIZED PARETO DISTRIBUTION
• Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution
• Improved inference for the generalized Pareto distribution

zbMATH Keywords

maximum likelihood estimationsshape parameter test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Point estimation (62F10)

Cites Work

• Statistical inference using extreme order statistics
• Maximum likelihood estimation in a class of nonregular cases
• Title not available (Why is that?)
• Residual life time at great age
• Estimating tails of probability distributions
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Fitting the Generalized Pareto Distribution to Data
• Linear combinations of order statistics to estimate the position and scale parameters of the generalized Pareto distribution
• A statistical test procedure for the shape parameter of a generalized Pareto distribution

Cited In (12)

• A statistical test procedure for the shape parameter of a generalized Pareto distribution
• Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution
• Asymptotic properties of maximum likelihood estimators for a generalized Pareto-type distribution
• Generalized Pareto distributions, image statistics and autofocusing in automated microscopy
• The \(q\)-exponentials do not maximize the Rényi entropy
• Generalizing the Pareto to the log-Pareto model and statistical inference
• A bootstrap goodness of fit test for the generalized Pareto distribution
• On the maximum likelihood estimators for some generalized Pareto-like frequency distribution
• On the asymptotic properties of the likelihood estimates and some inferential issues related to hidden truncated Pareto (type II) model
• Title not available (Why is that?)
• LIKELIHOOD MOMENT ESTIMATION FOR THE GENERALIZED PARETO DISTRIBUTION
• Parameter estimation of the generalized Pareto distribution. I

This page was built for publication: Statistical Inference for the Generalized Pareto Distribution: Maximum Likelihood Revisited

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5484667)