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Communications in Statistics - Theory and Methods Volume 40, 2011 - Issue 14
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Original Articles

Estimation for the Generalized Pareto Distribution Using Maximum Likelihood and Goodness of Fit

Jürg Hüsler Department of Mathematical Statistics, University of Bern, Bern, Switzerland
,
Deyuan Li Department of Statistics, School of Management, Fudan University, Shanghai, ChinaCorrespondence[email protected]
&
Mathias Raschke IWSÖ, Weimar, Germany
Pages 2500-2510 | Received 11 May 2009, Accepted 09 Sep 2009, Published online: 18 Apr 2011

Citations (17)

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Read on this site (3)

Mathias Raschke. (2017) Criticism of the predictive distribution. Communications in Statistics - Theory and Methods 46:15, pages 7621-7629.
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Jürg Hüsler, Deyuan Li & Mathias Raschke. (2016) Extreme value index estimator using maximum likelihood and moment estimation. Communications in Statistics - Theory and Methods 45:12, pages 3625-3636.
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Mathias Raschke. (2013) Parameter Estimation for the Tail Distribution of a Random Sequence. Communications in Statistics - Simulation and Computation 42:5, pages 1013-1043.
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Articles from other publishers (14)

Saiful Izzuan Hussain, Nurulkamal Masseran, Nadiah Ruza & Muhammad Aslam Mohd Safari. (2021) Predicting Extreme Returns of Bitcoin: Extreme Value Theory Approach. Journal of Physics: Conference Series 1988:1, pages 012091.
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Nasr Ahmed AL-Dhurafi, Nurulkamal Masseran & Zamira Hasanah Zamzuri. (2020) Hierarchical-Generalized Pareto Model for Estimation of Unhealthy Air Pollution Index. Environmental Modeling & Assessment 25:4, pages 555-564.
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Nurulkamal Masseran & Muhammad Aslam Mohd Safari. (2020) Risk assessment of extreme air pollution based on partial duration series: IDF approach. Stochastic Environmental Research and Risk Assessment 34:3-4, pages 545-559.
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Xuehua Hu & Wenhao Gui. (2018) Bayesian and Non-Bayesian Inference for the Generalized Pareto Distribution Based on Progressive Type II Censored Sample. Mathematics 6:12, pages 319.
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Nasr Ahmed AL-Dhurafi, Nurulkamal Masseran, Zamira Hasanah Zamzuri & Muhammad Aslam Mohd Safari. (2017) Modeling the Air Pollution Index based on its structure and descriptive status. Air Quality, Atmosphere & Health 11:2, pages 171-179.
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Lukas Martig & Jürg Hüsler. (2017) Asymptotic normality of the likelihood moment estimators for a stationary linear process with heavy-tailed innovations. Extremes 21:1, pages 1-26.
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Nasr Ahmed AL-DhurafiNurulkamal MasseranZamira Hasanah ZamzuriAhmad Mahir Razali. (2018) Modeling Unhealthy Air Pollution Index Using a Peaks-Over-Threshold Method. Environmental Engineering Science 35:2, pages 101-110.
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Lukas Martig & Jürg Hüsler. (2016) On consistency of the likelihood moment estimators for a linear process with regularly varying innovations. Extremes 20:1, pages 169-185.
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Nicholas Carey, Tamas Budavari, Yanif Ahmad & Alexander Szalay. (2016) DOT-K: A distributed online top-K elements algorithm using extreme value statistics. DOT-K: A distributed online top-K elements algorithm using extreme value statistics.
Mathias Raschke. (2015) Comment on Pisarenko et al., “Characterization of the Tail of the Distribution of Earthquake Magnitudes by Combining the GEV and GPD Descriptions of Extreme Value Theory”. Pure and Applied Geophysics 173:2, pages 701-707.
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Nurulkamal Masseran, Ahmad Mahir Razali, Kamarulzaman Ibrahim & Mohd Talib Latif. (2015) Modeling air quality in main cities of Peninsular Malaysia by using a generalized Pareto model. Environmental Monitoring and Assessment 188:1.
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Mathias Raschke. (2013) Statistical modeling of ground motion relations for seismic hazard analysis. Journal of Seismology 17:4, pages 1157-1182.
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Mathias Raschke. (2012) Möglichkeiten der mathematischen Statistik zur Schätzung der Hochwasserwahrscheinlichkeit. Wasser und Abfall 14:6, pages 49-53.
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J.-C. Waizmann, S. Ettori & L. Moscardini. (2012) On the modelling of the excesses of galaxy clusters over high-mass thresholds. Monthly Notices of the Royal Astronomical Society 422:4, pages 3554-3563.
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