Statistical Inference for the Generalized Pareto Distribution: Maximum Likelihood Revisited

DOI10.1080/03610920500501429MaRDI QIDQ5484667zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

maximum likelihood estimationsshape parameter test

Mathematics Subject Classification ID

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

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Cites work

• A statistical test procedure for the shape parameter of a generalized Pareto distribution
• Estimating tails of probability distributions
• Fitting the Generalized Pareto Distribution to Data
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• Linear combinations of order statistics to estimate the position and scale parameters of the generalized Pareto distribution
• Maximum likelihood estimation in a class of nonregular cases
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Residual life time at great age
• Statistical inference using extreme order statistics

Cited in

(17)

• Likelihood inference for generalized Pareto distribution
• Improved inference for the generalized Pareto distribution
• The \(q\)-exponentials do not maximize the Rényi entropy
• Parameter estimation of the generalized Pareto distribution. I
• Estimation of the shape parameter of a generalized Pareto distribution based on a transformation to Pareto distributed variables
• Generalized Pareto distributions, image statistics and autofocusing in automated microscopy
• Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution
• On the maximum likelihood estimators for some generalized Pareto-like frequency distribution
• LIKELIHOOD MOMENT ESTIMATION FOR THE GENERALIZED PARETO DISTRIBUTION
• On the asymptotic properties of the likelihood estimates and some inferential issues related to hidden truncated Pareto (type II) model
• A computational approach to confidence intervals and testing for generalized Pareto index using the Greenwood statistic
• Generalizing the Pareto to the log-Pareto model and statistical inference
• On the asymptotic properties of the likelihood estimates and some inferential issues related to hidden truncated Pareto (Type IV) model
• Efficient likelihood-based inference for the generalized Pareto distribution
• Asymptotic properties of maximum likelihood estimators for a generalized Pareto-type distribution
• A statistical test procedure for the shape parameter of a generalized Pareto distribution
• A bootstrap goodness of fit test for the generalized Pareto distribution

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