Generalizing the Pareto to the log-Pareto model and statistical inference

DOI10.1007/S10687-008-0070-6zbMATH Open1221.62039OpenAlexW2002208011MaRDI QIDQ626281FDOQ626281

Authors: Ulf Cormann, Rolf-Dieter Reiss 

Publication date: 22 February 2011

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-008-0070-6

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zbMATH Keywords

maximum likelihood estimationexceedancessuper-heavy tails

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Point estimation (62F10)

Cites Work

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• Residual life time at great age
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• On max domains of attraction of univariate \(p\)-max stable laws
• Quasi-conjugate Bayes estimates for GPD parameters and application to heavy tails modelling
• Recurrence properties of autoregressive processes with super-heavy-tailed innovations
• Fitting the Generalized Pareto Distribution to Data
• Nonlinear dynamics and intermittency in a long-term copepod time series

Cited In (9)

• Log-regularly varying scale mixture of normals for robust regression
• Posterior robustness with milder conditions: contamination models revisited
• Construction of the tetration distribution based on the continuous iteration of the exponential-minus-one function
• On posterior consistency of tail index for Bayesian kernel mixture models
• On the exponential max-domain of attraction of the standard log-Fréchet distribution and subexponentiality
• Accounting for choice of measurement scale in extreme value modeling
• Distance between exact and approximate distributions of partial maxima under power normalization
• On von Mises type conditions for \(p\)-max stable laws, rates of convergence and generalized log Pareto distributions
• Title not available (Why is that?)

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