Efficient likelihood-based inference for the generalized Pareto distribution

DOI10.1007/S10463-020-00782-ZOpenAlexW3119150148MaRDI QIDQ825059FDOQ825059

Authors: Hideki Nagatsuka, Narayanaswamy Balakrishnan 

Publication date: 17 December 2021

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-020-00782-z

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zbMATH Keywords

asymptotic normalityhypothesis testinginterval estimationpeaks over thresholdextreme valuenon-regularity problem

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Computing Maximum Likelihood Estimates for the Generalized Pareto Distribution
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• Conditional independence of blocked ordered data
• Parameter estimation of the generalized Pareto distribution. I
• Parameter estimation of the generalized Pareto distribution. II
• Likelihood inference for generalized Pareto distribution
• Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution

Cited In (6)

• The Pareto type I joint frailty-copula model for clustered bivariate survival data
• A computational approach to confidence intervals and testing for generalized Pareto index using the Greenwood statistic
• Shrinkage methods for estimating the shape parameter of the generalized Pareto distribution
• Statistical Inference for the Generalized Pareto Distribution: Maximum Likelihood Revisited
• LIKELIHOOD MOMENT ESTIMATION FOR THE GENERALIZED PARETO DISTRIBUTION
• A default Bayesian procedure for the generalized Pareto distribution

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