Point and exact interval estimation for the generalized Pareto distribution with small samples

DOI10.4310/SII.2014.V7.N3.A9MaRDI QIDQ896422zbMATH OpenFDO

Authors Jian He, Zhuo Sheng, Bingxing Wang, Keming Yu

Publication date 9 December 2015

Published in Statistics and Its Interface (Search for Journal in Brave)

zbMATH Keywords

confidence intervalquantileextreme value theorygeneralized Pareto distributionshape parametersmall sample

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic distribution theory in statistics (62E20) Parametric tolerance and confidence regions (62F25)

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(5)

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• Estimating extreme tail risk measures with generalized Pareto distribution
• Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view
• A distributed quantile estimation algorithm of heavy-tailed distribution with massive datasets
• Small-sample estimators of the quantiles of the normal, log-normal and Pareto distributions

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Uses Software

• POT

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