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Technometrics Volume 52, 2010 - Issue 3
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Articles

Improving on Estimation for the Generalized Pareto Distribution

Jin Zhang School of Mathematics and Statistics, Yunnan University, Kunming, Yunnan, 650091, China
Pages 335-339 | Received 01 Dec 2009, Published online: 01 Jan 2012

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Xu Zhao, Weihu Cheng & Pengyue Zhang. (2020) Extreme tail risk estimation with the generalized Pareto distribution under the peaks-over-threshold framework. Communications in Statistics - Theory and Methods 49:4, pages 827-844.
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Haiqing Chen, Weihu Cheng, Yaohua Rong & Xu Zhao. (2019) Fitting the generalized Pareto distribution to data based on transformations of order statistics. Journal of Applied Statistics 46:3, pages 432-448.
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Haiqing Chen, Weihu Cheng, Jing Zhao & Xu Zhao. (2017) Parameter estimation for generalized Pareto distribution by generalized probability weighted moment-equations. Communications in Statistics - Simulation and Computation 46:10, pages 7761-7776.
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Piao Chen, Zhi-Sheng Ye & Xingqiu Zhao. (2017) Minimum Distance Estimation for the Generalized Pareto Distribution. Technometrics 59:4, pages 528-541.
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Chunlin Wang & Gemai Chen. (2016) A new hybrid estimation method for the generalized pareto distribution. Communications in Statistics - Theory and Methods 45:14, pages 4285-4294.
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Jin Zhang. (2014) Empirical Bayesian estimation of location of the Cauchy distribution. Journal of Statistical Computation and Simulation 84:6, pages 1381-1385.
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Articles from other publishers (23)

Wilhemina Adoma Pels, Atinuke O. Adebanji, Sampson Twumasi-Ankrah & Richard Minkah. (2023) Shrinkage Methods for Estimating the Shape Parameter of the Generalized Pareto Distribution. Journal of Applied Mathematics 2023, pages 1-11.
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Ross Towe, David Randell, Jennifer Kensler, Graham Feld & Philip Jonathan. (2023) Estimation of associated values from conditional extreme value models. Ocean Engineering 272, pages 113808.
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Grzegorz Siudem, Przemysław Nowak & Marek Gagolewski. (2022) Power laws, the Price model, and the Pareto type-2 distribution. Physica A: Statistical Mechanics and its Applications 606, pages 128059.
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Ed Mackay, Guillaume de Hauteclocque, Erik Vanem & Philip Jonathan. (2021) The effect of serial correlation in environmental conditions on estimates of extreme events. Ocean Engineering 242, pages 110092.
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Hideki Nagatsuka & N. Balakrishnan. (2021) Efficient likelihood-based inference for the generalized Pareto distribution. Annals of the Institute of Statistical Mathematics 73:6, pages 1153-1185.
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Hoa X. Pham, Asaad Y. Shamseldin & Bruce W. Melville. (2021) Projection of future extreme precipitation: a robust assessment of downscaled daily precipitation. Natural Hazards 107:1, pages 311-329.
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Xiaoyue Xie & Jian Shi. (2021) A distributed quantile estimation algorithm of heavy-tailed distribution with massive datasets. Mathematical Biosciences and Engineering 18:1, pages 214-230.
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Philip Jonathan, David Randell, Jenny Wadsworth & Jonathan Tawn. (2021) Uncertainties in return values from extreme value analysis of peaks over threshold using the generalised Pareto distribution. Ocean Engineering 220, pages 107725.
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Tiago F P Gomes, Erico L Rempel, Fernando M Ramos, Suzana S A Silva & Pablo R Muñoz. (2019) Extreme value theory in the solar wind: the role of current sheets. Monthly Notices of the Royal Astronomical Society 490:2, pages 1879-1893.
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Wolfgang Kössler & Janine Ott. (2018) Two-sided variable inspection plans for arbitrary continuous populations with unknown distribution. AStA Advances in Statistical Analysis 103:3, pages 437-452.
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Xu Zhao, Zhongxian Zhang, Weihu Cheng & Pengyue Zhang. (2019) A New Parameter Estimator for the Generalized Pareto Distribution under the Peaks over Threshold Framework. Mathematics 7:5, pages 406.
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Minh H. Pham, Chris Tsokos & Bong-Jin Choi. (2019) Maximum Likelihood Estimation for the Generalized Pareto Distribution and Goodness-of-Fit Test with Censored Data. Journal of Modern Applied Statistical Methods 17:2.
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Ed Mackay & Lars Johanning. (2018) Long-term distributions of individual wave and crest heights. Ocean Engineering 165, pages 164-183.
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Ed Mackay & Lars Johanning. (2018) A generalised equivalent storm model for long-term statistics of ocean waves. Coastal Engineering 140, pages 411-428.
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Yaser Mehrali, Majid Asadi & Omid Kharazmi. (2017) A Jensen–Gini measure of divergence with application in parameter estimation. METRON 76:1, pages 115-131.
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Suyeon Kang & Jongwoo Song. (2017) Parameter and quantile estimation for the generalized Pareto distribution in peaks over threshold framework. Journal of the Korean Statistical Society 46:4, pages 487-501.
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Amr Gharib, Evan Davies, Greg Goss & Monireh Faramarzi. (2017) Assessment of the Combined Effects of Threshold Selection and Parameter Estimation of Generalized Pareto Distribution with Applications to Flood Frequency Analysis. Water 9:9, pages 692.
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Myung Hyun Park & Joseph H.T. Kim. (2016) Estimating extreme tail risk measures with generalized Pareto distribution. Computational Statistics & Data Analysis 98, pages 91-104.
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Joan del Castillo & Isabel Serra. (2015) Likelihood inference for generalized Pareto distribution. Computational Statistics & Data Analysis 83, pages 116-128.
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Minjung Kang, Jiyeon Kim, Jongwoo Song & Seongjoo Song. (2013) Value at Risk with Peaks over Threshold: Comparison Study of Parameter Estimation. Korean Journal of Applied Statistics 26:3, pages 483-494.
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S.Y. Kim & J. Song. (2012) Estimation of Car Insurance Loss Ratio Using the Peaks over Threshold Method. Korean Journal of Applied Statistics 25:1, pages 101-114.
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Jongwoo Song & Seongjoo Song. (2012) A quantile estimation for massive data with generalized Pareto distribution. Computational Statistics & Data Analysis 56:1, pages 143-150.
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Robert James & Wai Yin Leung. (2021) Comparing Parameter Estimation Techniques for the Generalised Pareto Distribution Using Consistent Scoring Functions. SSRN Electronic Journal.
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