A New and Efficient Estimation Method for the Generalized Pareto Distribution

Keywords

Generalized Pareto distribution, Estimator, Moment (physics), Pareto principle, Pareto distribution

References

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Cited by

• Very Good Importance SamplingAki Vehtari, Andrew Gelman — 2015
• Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distributionDavid E. A. Giles, Hui Feng, Ryan T. Godwin — 2016
• A quantile estimation for massive data with generalized Pareto distributionJongwoo Song, Seongjoo Song — 2012
• Improved Estimates of the European Winter Windstorm Climate and the Risk of Reinsurance Loss Using Climate Model DataP. M. Della‐Marta, Mark A. Liniger, Christof Appenzeller — 2010
• A comparison of estimators for the generalised Pareto distributionEd Mackay, Peter Challenor, A.S. Bahaj — 2011
• Variability of extreme events in the Colombian Pacific and Caribbean catchment basinsIsabel Hoyos, Astrid Baquero‐Bernal, Daniela Jacob — 2013
• The generalized Pareto distribution fitted to research outputs of countriesVan Zyl — 2013
• A Median Regression Model to Estimate the Parameters of the Three-Parameter Generalized Pareto DistributionVan Zyl — 2012
• A new unsupervised threshold determination for hybrid modelsNehla Debbabi, Marie Kratz — 2014
• The Determination of Probability Distributions of Annual, Seasonal and Monthly Precipitation in KoreaDongyeob Kim, Sang-Ho Lee, Young-Joo Hong — 2010
• Empirical Bayesian estimation of location of the Cauchy distributionJin Zhang — 2014
• Likelihood inference for generalized Pareto distributionJoan del Castillo, Isabel Serra — 2015
• Use of crash surrogates and exceedance statistics to estimate road safety.Andrew P. Tarko — 2012
• Value at Risk with Peaks over Threshold: Comparison Study of Parameter EstimationMinjung Kang, Jiyeon Kim, Jongwoo Song — 2013
• Estimation of radar threshold in environments with unknown distributionAkın Özdemir, Mücahit K. Üner — 2011
• Estimation of the Shape Parameter of a Generalized Pareto Distribution Based on a Transformation to Pareto Distributed VariablesJ. Martin van Zyl — 2012
• Improving on Estimation for the Generalized Pareto DistributionJin Zhang — 2010
• Intensity Based Estimation of Extreme Loss Event Probability and Value-at-RiskKam Hamidieh, Stilian Stoev, George Michailidis — 2012
• Practical Bayesian model evaluation using leave-one-out cross-validation and WAICAki Vehtari, Andrew Gelman, Jonah Gabry — 2015
• Estimating extreme tail risk measures with generalized Pareto distributionMyung Hyun Park, Joseph H.T. Kim — 2016

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