A quantile estimation for massive data with generalized Pareto distribution

Keywords

Quantile, Generalized Pareto distribution, Mathematics, Statistics, Mean squared error

References

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• A New and Efficient Estimation Method for the Generalized Pareto DistributionJin Zhang, Michael A. Stephens — 2009
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• LIKELIHOOD MOMENT ESTIMATION FOR THE GENERALIZED PARETO DISTRIBUTIONJin Zhang — 2007
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• Incremental quantile estimation for massive trackingFei Chen, Diane Lambert, José Cirı́aco Pinheiro — 2000
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Cited by

• Estimation of Car Insurance Loss Ratio Using the Peaks over Threshold MethodSeokpum Kim, Jongwoo Song — 2012
• A Parameter Estimation Method using Nonlinear Least SquaresSuna Oh, Jongwoo Song — 2013
• Likelihood inference for generalized Pareto distributionJoan del Castillo, Isabel Serra — 2015
• Efficient Estimation of the PDF and the CDF of the Exponentiated Gumbel DistributionS. F. Bagheri, Mojtaba Alizadeh, Saralees Nadarajah — 2016
• Value at Risk with Peaks over Threshold: Comparison Study of Parameter EstimationMinjung Kang, Jiyeon Kim, Jongwoo Song — 2013
• Modelling volatility and financial market risks of shares on the Johannesburg Stock ExchangeMonnye Rhoda Makhwiting — 2012
• Modelling conditional heteroskedasticity in JSE stock returns using the Generalised Pareto DistributionCaston Sigauke, Rhoda M. Makhwiting, Maseka Lesaoana — 2014
• On the Estimation for the Weibull DistributionMojtaba Alizadeh, Sadegh Rezaei, S. F. Bagheri — 2015
• Estimating extreme tail risk measures with generalized Pareto distributionMyung Hyun Park, Joseph H.T. Kim — 2016
• The Mean/Max Statistic in Extreme Value AnalysisPaul Rochet, Isabel Serra — 2016
• Parameter estimation for generalized Pareto distribution by generalized probability weighted moment-equationsHaiqing Chen, Weihu Cheng, Jing Zhao — 2017
• Minimum Distance Estimation for the Generalized Pareto DistributionPiao Chen, Zhi‐Sheng Ye, Xingqiu Zhao — 2017
• Parameter and quantile estimation for the generalized Pareto distribution in peaks over threshold frameworkSuyeon Kang, Jongwoo Song — 2017
• The Gamma Generalized Pareto Distribution with Applications in Survival AnalysisThiago A. N. De Andrade, Luz Milena Zea Fernandez, Frank Gomes‐Silva — 2017
• Assessment of the Combined Effects of Threshold Selection and Parameter Estimation of Generalized Pareto Distribution with Applications to Flood Frequency AnalysisAmr Gharib, Evan Davies, Greg G. Goss — 2017
• Fitting the generalized Pareto distribution to data based on transformations of order statisticsHaiqing Chen, Weihu Cheng, Yaohua Rong — 2018
• Extreme tail risk estimation with the generalized Pareto distribution under the peaks-over-threshold frameworkXu Zhao, Weihu Cheng, Pengyue Zhang — 2018
• A New Parameter Estimator for the Generalized Pareto Distribution under the Peaks over Threshold FrameworkXu Zhao, Zhongxian Zhang, Weihu Cheng — 2019
• Exponentiated generalized Pareto distribution: Properties and applications towards extreme value theorySe Yoon Lee, Joseph H.T. Kim — 2017
• The tolerable waiting time: A generalized Pareto distribution model with empirical investigationHui Xiong, Lu Ma, Mengxi Ning — 2019

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