A statistical test procedure for the shape parameter of a generalized Pareto distribution

DOI10.1016/S0167-9473(03)00087-2MaRDI QIDQ956880zbMATH OpenOpenAlexFDO

Authors Ali Chaouche, Jean-Noel Bacro

Publication date 26 November 2008

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-9473(03)00087-2

zbMATH Keywords

generalized Pareto distributionsmall sample sizemaximum likelihood ratio testprobability weighted moment

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03)

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Cites work

• scientific article; zbMATH DE number 4159879 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 1040106 (Why is no real title available?)
• Estimating tails of probability distributions
• Fitting the Generalized Pareto Distribution to Data
• Linear combinations of order statistics to estimate the position and scale parameters of the generalized Pareto distribution
• Maximum likelihood estimation in a class of nonregular cases
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Residual life time at great age
• Statistical inference using extreme order statistics

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(10)

• A computational approach to confidence intervals and testing for generalized Pareto index using the Greenwood statistic
• scientific article; zbMATH DE number 6951363 (Why is no real title available?)
• Shrinkage Testimators for the Shape Parameter of Pareto Distribution Using LINEX Loss Function
• Statistical Inference for the Generalized Pareto Distribution: Maximum Likelihood Revisited
• How fast can the chord length distribution decay?
• A bootstrap goodness of fit test for the generalized Pareto distribution
• A review of goodness of fit tests for Pareto distributions
• Generalised smooth tests for the generalised Pareto distribution
• Statistical Hypothesis Test for the Difference between Hirsch Indices of Two Pareto-Distributed Random Samples
• Extreme Value Theory and Statistics of Univariate Extremes: A Review

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