Efficient likelihood-based inference for the generalized Pareto distribution

DOI10.1007/S10463-020-00782-ZOpenAlexW3119150148MaRDI QIDQ825059

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

zbMATH Keywords

asymptotic normalityhypothesis testinginterval estimationextreme valuepeaks over thresholdnon-regularity problem

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Conditional independence of blocked ordered data
• Data. A collection of problems from many fields for the student and research worker
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• Likelihood inference for generalized Pareto distribution
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• Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution
• Maximum likelihood estimation in a class of nonregular cases
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Fitting the Generalized Pareto Distribution to Data
• Computing Maximum Likelihood Estimates for the Generalized Pareto Distribution
• Statistics of Extremes
• An introduction to statistical modeling of extreme values
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