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Technometrics Volume 51, 2009 - Issue 3
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Articles

A New and Efficient Estimation Method for the Generalized Pareto Distribution

Jin Zhang School of Mathematics and Statistics, Yunnan University, Kunming, Yunnan, 650091, China
&
Michael A. Stephens Department of Statistics and Actuarial Science, Simon Fraser University, Burnaby, B.C. V5A 1S6, Canada
Pages 316-325 | Received 01 Jan 2008, Published online: 01 Jan 2012
 
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Abstract

The generalized Pareto distribution (GPD) is widely used to model extreme values, for example, exceedences over thresholds, in modeling floods. Existing methods for estimating parameters have theoretical or computational defects. An efficient new estimator is proposed, which is computationally easy, free from the problems observed in traditional approaches, and performs well compared with existing estimators. A numerical example involving heights of waves is used to illustrate the various methods and tests of fit are performed to compare them.

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