Robust and efficient estimation for the generalized Pareto distribution
A minimum density power divergence estimator (MDPDE) is considered for the scale and shape parameters of the generalized Pareto distribution (GPD). Generally speaking, if the data \(X_i\), \(i=1,\dots,n\), are i.i.d. with PDF \(f(x;\vartheta)\), then the MDPDE for \(\vartheta\) is the minimizer of \[ \int f^{1+\alpha}(x;\vartheta)\,dx -(1+1/\alpha) n^{-1}\sum_{i=1}^n f^\alpha(X_i;\vartheta), \] where \(\alpha\) is a fixed positive number (the MLE corresponds to \(\alpha\to 0\)). The asymptotic variance and influence function (IF) of the MDPDE for the generalized Pareto distribution are described. It is shown that the IF is bounded for \(\alpha>0\) (in contrast to unbounded IF for MLE). The relative asymptotic efficiency of the MDPDE is investigated. The MDPDE is compared to the MLE, Hampel's optimally-biased robust estimator and the Peng-Welsh median estimator via simulations. An application to rainfall data is considered.
- Robust estimation of the generalized Pareto distribution
- Minimum density power divergence estimator for GARCH models
- Fitting the Generalized Pareto Distribution to Data
- A comparative evaluation of the estimators of the three-parameter generalized pareto distribution
- Optimally robust estimators in generalized Pareto models
- Exceedances over high thresholds: a guide to threshold selection
- scientific article; zbMATH DE number 4159879 (Why is no real title available?)
- scientific article; zbMATH DE number 794688 (Why is no real title available?)
- Maximum likelihood estimation in a class of nonregular cases
- Parameter and Quantile Estimation for the Generalized Pareto Distribution
- Robust and efficient estimation by minimising a density power divergence
- Robust estimation of the generalized Pareto distribution
- A robust estimator for the tail index of Pareto-type distributions
- Detecting influential data points for the Hill estimator in Pareto-type distributions
- Likelihood inference for generalized Pareto distribution
- Robust estimation in stochastic frontier models
- Estimating extreme tail risk measures with generalized Pareto distribution
- Robust estimation of the generalized Pareto distribution
- Dual divergence estimators of the tail index
- A distributed quantile estimation algorithm of heavy-tailed distribution with massive datasets
- Robust nonparametric estimation of the conditional tail dependence coefficient
- Robust estimator of conditional tail expectation of Pareto-type distribution
- Parameter estimation of the generalized Pareto distribution. II
- Robust conditional Weibull-type estimation
- The harmonic moment tail index estimator: asymptotic distribution and robustness
- Robust and asymptotically unbiased estimation of extreme quantiles for heavy tailed distributions
- Local robust and asymptotically unbiased estimation of conditional Pareto-type tails
- Generalized Pareto approximation for a distribution in the Fréchet or Gumbel domain of attraction: Relative approximation error of a high quantile
- Optimally robust estimators in generalized Pareto models
- A hybrid estimator for generalized pareto and extreme-value distributions
- Correcting certain estimation methods for the generalized Pareto distribution
- Robust and efficient estimation of the shape parameter of alpha-stable distributions
- Predicting the Tail Behavior of Financial Times Stock Exchange/Johannesburg Stock Exchange (FTSE/JSE) Closing Banking Indices: Extreme Value Theory Approach
- Robust bootstrap forecast densities for GARCH returns and volatilities
- The minimum density power divergence estimation for the lognormal density
- Modeling severity and measuring tail risk of Norwegian fire claims
- Zero-inflated truncated generalized Pareto distribution for the analysis of radio audience data
- Robust estimation of Pareto-type tail index through an exponential regression model
- Estimation of the Pareto and related distributions – A reference-intrinsic approach
- Outlier detection based on extreme value theory and applications
- Extreme Value Theory and Statistics of Univariate Extremes: A Review
- Minimum density power divergence estimator for GARCH models
- Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view
- Minimizing robust density power-based divergences for general parametric density models
- Robust estimator of the ruin probability in infinite time for heavy-tailed distributions
- Distributionally robust tail bounds based on Wasserstein distance and f-divergence
- Robust and efficient estimation for the Block-Basu bivariate exponential distribution
- Robust and smooth estimation of the extreme tail index via weighted minimum density power divergence
- Divergence-based robust inference for the Marshall-Olkin bivariate exponential distribution
This page was built for publication: Robust and efficient estimation for the generalized Pareto distribution
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2488456)
