545
Views
57
CrossRef citations to date
0
Altmetric
Articles

A New and Efficient Estimation Method for the Generalized Pareto Distribution

&
Pages 316-325 | Received 01 Jan 2008, Published online: 01 Jan 2012

Keep up to date with the latest research on this topic with citation updates for this article.

Read on this site (13)

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.
Read now
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.
Read now
Michael Harwell, Nidhi Kohli & Yadira Peralta-Torres. (2018) A Survey of Reporting Practices of Computer Simulation Studies in Statistical Research. The American Statistician 72:4, pages 321-327.
Read now
David Roodman. (2018) Bias and size corrections in extreme value modeling. Communications in Statistics - Theory and Methods 47:14, pages 3377-3391.
Read now
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.
Read now
Piao Chen, Zhi-Sheng Ye & Xingqiu Zhao. (2017) Minimum Distance Estimation for the Generalized Pareto Distribution. Technometrics 59:4, pages 528-541.
Read now
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.
Read now
M. Roth, G. Jongbloed & T.A. Buishand. (2016) Threshold selection for regional peaks-over-threshold data. Journal of Applied Statistics 43:7, pages 1291-1309.
Read now
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.
Read now
Jin Zhang. (2014) Empirical Bayesian estimation of location of the Cauchy distribution. Journal of Statistical Computation and Simulation 84:6, pages 1381-1385.
Read now
J. Martin Van Zyl. (2012) A Median Regression Model to Estimate the Parameters of the Three-Parameter Generalized Pareto Distribution. Communications in Statistics - Simulation and Computation 41:4, pages 544-553.
Read now
Jin Zhang. (2010) Improving on Estimation for the Generalized Pareto Distribution. Technometrics 52:3, pages 335-339.
Read now

Articles from other publishers (44)

Guofeng Zheng, Yunlai Liao, Baixian Chen, Shuen Zhao & Hanbing Wei. (2024) Multi-axial load spectrum extrapolation method for fatigue durability of special vehicles based on extreme value theory. International Journal of Fatigue 178, pages 108014.
Crossref
Léo R. Belzile, Christophe Dutang, Paul J. Northrop & Thomas Opitz. (2023) A modeler’s guide to extreme value software. Extremes 26:4, pages 595-638.
Crossref
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.
Crossref
Luis Welbanks, Peter McGill, Michael Line & Nikku Madhusudhan. (2023) On the Application of Bayesian Leave-one-out Cross-validation to Exoplanet Atmospheric Analysis. The Astronomical Journal 165:3, pages 112.
Crossref
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.
Crossref
Andrew P. Tarko. (2023) Maximum likelihood method of estimating the conflict-crash relationship. Accident Analysis & Prevention 179, pages 106875.
Crossref
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.
Crossref
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.
Crossref
Jacinto Martín, María Isabel Parra, Mario Martínez Pizarro & Eva López Sanjuán. (2022) Baseline Methods for the Parameter Estimation of the Generalized Pareto Distribution. Entropy 24:2, pages 178.
Crossref
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.
Crossref
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.
Crossref
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.
Crossref
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.
Crossref
Isabel Hoyos & Boris Anghelo Rodríguez. (2020) Drawing the complexity of Colombian climate from non-extensive extreme behavior. Physica A: Statistical Mechanics and its Applications 548, pages 123673.
Crossref
Fujin Zhu, Jie Lu, Adi Lin & Guangquan Zhang. (2020) A Pareto-smoothing method for causal inference using generalized Pareto distribution. Neurocomputing 378, pages 142-152.
Crossref
Andrew P. Tarko. 2020. Measuring Road Safety Using Surrogate Events. Measuring Road Safety Using Surrogate Events 107 129 .
J. Chu, O. Dickin & S. Nadarajah. (2019) A review of goodness of fit tests for Pareto distributions. Journal of Computational and Applied Mathematics 361, pages 13-41.
Crossref
Hui Xiong, Lu Ma, Mengxi Ning, Xu Zhao & Jinxian Weng. (2019) The tolerable waiting time: A generalized Pareto distribution model with empirical investigation. Computers & Industrial Engineering 137, pages 106019.
Crossref
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.
Crossref
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.
Crossref
Martin Roth, Geurt Jongbloed & Adri Buishand. (2018) Monotone trends in the distribution of climate extremes. Theoretical and Applied Climatology 136:3-4, pages 1175-1184.
Crossref
Soheil Saeed Far, Ahmad Khairi Abd Wahab & Sobri Bin Harun. (2018) Determination of Significant Wave Height Offshore of the Federal Territory of Labuan (Malaysia) Using Generalized Pareto Distribution Method. Journal of Coastal Research 344, pages 892-899.
Crossref
Andrew P. Tarko. (2018) Estimating the expected number of crashes with traffic conflicts and the Lomax Distribution – A theoretical and numerical exploration. Accident Analysis & Prevention 113, pages 63-73.
Crossref
Yaser Mehrali, Majid Asadi & Omid Kharazmi. (2017) A Jensen–Gini measure of divergence with application in parameter estimation. METRON 76:1, pages 115-131.
Crossref
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.
Crossref
Lan Xu & Guy Nusholtz. Application of Extreme Value Theory to Crash Data Analysis. Application of Extreme Value Theory to Crash Data Analysis.
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.
Crossref
Aki Vehtari, Andrew Gelman & Jonah Gabry. (2016) Practical Bayesian model evaluation using leave-one-out cross-validation and WAIC. Statistics and Computing 27:5, pages 1413-1432.
Crossref
Hong Zhu, Yingchao Xie & Maochao Xu. (2016) Discrete Truncated Power‐Law Distributions. Australian & New Zealand Journal of Statistics 58:2, pages 197-209.
Crossref
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.
Crossref
Joan del Castillo & Isabel Serra. (2015) Likelihood inference for generalized Pareto distribution. Computational Statistics & Data Analysis 83, pages 116-128.
Crossref
Nehla Debbabi & Marie Kratz. (2014) A new unsupervised threshold determination for hybrid models. A new unsupervised threshold determination for hybrid models.
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.
Crossref
Kamal HamidiehStilian StoevGeorge Michailidis. (2013) Intensity-based estimation of extreme loss event probability and value at risk. Applied Stochastic Models in Business and Industry 29:3, pages 171-186.
Crossref
Isabel Hoyos, Astrid Baquero-Bernal, Daniela Jacob & Boris A. Rodríguez. (2012) Variability of extreme events in the Colombian Pacific and Caribbean catchment basins. Climate Dynamics 40:7-8, pages 1985-2003.
Crossref
J. Martin van Zyl. (2012) The generalized Pareto distribution fitted to research outputs of countries. Scientometrics 94:3, pages 1099-1109.
Crossref
Jelena Jocković. 2013. Optimization Theory, Decision Making, and Operations Research Applications. Optimization Theory, Decision Making, and Operations Research Applications 267 280 .
Andrew P. Tarko. (2012) Use of crash surrogates and exceedance statistics to estimate road safety. Accident Analysis & Prevention 45, pages 230-240.
Crossref
Jongwoo Song & Seongjoo Song. (2012) A quantile estimation for massive data with generalized Pareto distribution. Computational Statistics & Data Analysis 56:1, pages 143-150.
Crossref
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.
Crossref
Akin Ozdemir & Mucahit K. Uner. (2011) Estimation of radar threshold in environments with unknown distribution. Estimation of radar threshold in environments with unknown distribution.
Paul M. Della-Marta, Mark A. Liniger, Christof Appenzeller, David N. Bresch, Pamela Köllner-Heck & Veruska Muccione. (2010) Improved Estimates of the European Winter Windstorm Climate and the Risk of Reinsurance Loss Using Climate Model Data. Journal of Applied Meteorology and Climatology 49:10, pages 2092-2120.
Crossref
Robert James & Wai Yin Leung. (2021) Comparing Parameter Estimation Techniques for the Generalised Pareto Distribution Using Consistent Scoring Functions. SSRN Electronic Journal.
Crossref
Kam Hamidieh, Stilian Stoev & George Michailidis. (2010) Intensity Based Estimation of Extreme Loss Event Probability and Value-at-Risk. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.