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Communications in Statistics - Theory and Methods Volume 35, 2006 - Issue 5
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INFERENCE

Statistical Inference for the Generalized Pareto Distribution: Maximum Likelihood Revisited

Ali Chaouche Department of Mathematics, ENGREF/GRESE, National Institute of Environment and Forestry, Paris, France
&
Jean-Noël Bacro Department of Mathematics, ENGREF/GRESE, National Institute of Environment and Forestry, Paris, FranceCorrespondence[email protected]
Pages 785-802 | Received 02 Jun 2004, Accepted 12 Oct 2005, Published online: 15 Feb 2007

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Indranil Ghosh. (2023) On the asymptotic properties of the likelihood estimates and some inferential issues related to hidden truncated Pareto (type II) model. Communications in Statistics - Theory and Methods 52:15, pages 5133-5144.
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David E. Giles, Hui Feng & Ryan T. Godwin. (2016) Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution. Communications in Statistics - Theory and Methods 45:8, pages 2465-2483.
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Marek Arendarczyk, Tomasz J. Kozubowski & Anna K. Panorska. (2021) The Greenwood statistic, stochastic dominance, clustering and heavy tails. Scandinavian Journal of Statistics 49:1, pages 331-352.
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Marc N. ConteDavid L. Kelly. (2021) Understanding the Improbable: A Survey of Fat Tails in Environmental Economics. Annual Review of Resource Economics 13:1, pages 289-310.
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Thomas Oikonomou, Konstantinos Kaloudis & G. Baris Bagci. (2021) The -exponentials do not maximize the Rényi entropy . Physica A: Statistical Mechanics and its Applications 578, pages 126126.
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Ed Mackay & Philip Jonathan. (2020) Assessment of return value estimates from stationary and non-stationary extreme value models. Ocean Engineering 207, pages 107406.
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Barry C. Arnold. 2014. Wiley StatsRef: Statistics Reference Online. Wiley StatsRef: Statistics Reference Online 1 10 .
Sophie Bertrand, Rocío Joo & Ronan Fablet. (2015) Generalized Pareto for Pattern-Oriented Random Walk Modelling of Organisms’ Movements. PLOS ONE 10:7, pages e0132231.
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Edward B.L. Mackay, Peter G. Challenor & AbuBakr S. Bahaj. (2011) A comparison of estimators for the generalised Pareto distribution. Ocean Engineering 38:11-12, pages 1338-1346.
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José A. Villaseñor‐Alva & Elizabeth González‐Estrada. (2010) On modeling cluster maxima with applications to ozone data from Mexico City. Environmetrics 21:5, pages 528-540.
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P. de Zea Bermudez & Samuel Kotz. (2010) Parameter estimation of the generalized Pareto distribution—Part I. Journal of Statistical Planning and Inference 140:6, pages 1353-1373.
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Luca Stabellini. (2010) Quantifying and Modeling Spectrum Opportunities in a Real Wireless Environment. Quantifying and Modeling Spectrum Opportunities in a Real Wireless Environment.
Edward B. L. Mackay, Peter G. Challenor & AbuBakr S. Bahaj. (2010) On the use of discrete seasonal and directional models for the estimation of extreme wave conditions. Ocean Engineering 37:5-6, pages 425-442.
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José A. Villaseñor-Alva & Elizabeth González-Estrada. (2009) A bootstrap goodness of fit test for the generalized Pareto distribution. Computational Statistics & Data Analysis 53:11, pages 3835-3841.
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