From the general affine transform family to a Pareto type IV model

DOI10.1155/2009/364901MaRDI QIDQ609671zbMATH OpenOpenAlexWikidataFDO

Authors Werner Hürlimann

Publication date 1 December 2010

Published in Journal of Probability and Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://eudml.org/doc/227711

Mathematics Subject Classification ID

Point estimation (62F10) Estimation in multivariate analysis (62H12)

Review text

Summary: The analytical form of general affine transform families with given maximum likelihood estimators for the affine parameters is determined. In this context, the simultaneous maximum likelihood equations of the affine parameters in the generalised Pareto distribution cannot have a common solution. This pathological situation is removed by extending it to a four parameter family, called Pareto type IV model.

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Cites work

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Cited in

(2)

• General affine transform families: why is the Pareto an exponential transform?
• On 1/f noise

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