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

DOI10.1016/S0167-9473(03)00087-2zbMATH Open1429.62066OpenAlexW2065252998MaRDI QIDQ956880FDOQ956880

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

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zbMATH Keywords

generalized Pareto distributionsmall sample sizemaximum likelihood ratio testprobability weighted moment

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03)

Cites Work

• Statistical inference using extreme order statistics
• Title not available (Why is that?)
• Maximum likelihood estimation in a class of nonregular cases
• Title not available (Why is that?)
• Residual life time at great age
• Estimating tails of probability distributions
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Title not available (Why is that?)
• Fitting the Generalized Pareto Distribution to Data
• Linear combinations of order statistics to estimate the position and scale parameters of the generalized Pareto distribution

Cited In (10)

• A review of goodness of fit tests for Pareto distributions
• 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
• How fast can the chord length distribution decay?
• Title not available (Why is that?)
• A bootstrap goodness of fit test for the generalized Pareto distribution
• Shrinkage Testimators for the Shape Parameter of Pareto Distribution Using LINEX Loss Function
• Title not available (Why is that?)
• Statistical Inference for the Generalized Pareto Distribution: Maximum Likelihood Revisited
• Generalised smooth tests for the generalised Pareto distribution

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