243
Views
139
CrossRef citations to date
0
Altmetric
Original Articles

Computing Maximum Likelihood Estimates for the Generalized Pareto Distribution

Pages 185-191 | Published online: 12 Mar 2012

REFERENCES

  • Davison , A. C. 1984 . “Modelling Excesses Over High Thresholds, With an Application,”. ” . In Statistical Extremes and Applications Edited by: Tiago de Oliveira , J. 461 – 482 . Dordrecht : Reidel. .
  • DuMouchel , W. 1983 . “Estimating the Stable Index α in Order to Measure Tail Thickness: A Critique,” . The Annals of Statistics , 11 : 1019 – 1036 .
  • Fisher , R. A. and Tippett , L. H. C. 1928 . “Limiting Forms of the Frequency of the Largest or Smallest Member of a Sample,” . Proceedings of the Cambridge Philosophical Society , 24 : 180 – 190 .
  • Gasser , T. and Müller , H. 1979 . “Kernel Estimation of Regression Functions,”. ” . In Smoothing Techniques for Curve Estimation Edited by: Gasser , T. and Rosenblatt , M. 23 – 68 . Berlin : Springer-Verlag. .
  • Hosking , J. R. M. and Wallis , J. R. 1987 . “Parameter and Quantile Estimation for the Generalized Pareto Distribution,” . Technometrics , 29 : 339 – 349 .
  • Joe , H. 1987 . “Estimation of Quantiles of the Maximum of N Observations,” . Biometrika , 74 : 347 – 354 .
  • Pickands , J. 1975 . “Statistical Inference Using Extreme Order Statistics,” . The Annals of Statistics , 3 : 119 – 131 .
  • Press , W. H. , Flannery , B. P. , Teukolsky , S. A. and Vetterling , W. T. 1989 . Numerical Recipes London : Cambridge University Press. .
  • Smith , J. A. 1986 . “Estimating the Upper Tail of Flood Frequency Distributions,” Centrum voor Wiskunde en Informatica, Amsterdam, Dept. of Mathematical Statistics. . Technical Report MS-R8607
  • Smith , R. L. 1984 . “Threshold Methods for Sample Extremes,”. ” . In Statistical Extremes and Applications Edited by: Tiago de Oliveira , J. 621 – 638 . Dordrecht : Reidel. .
  • Smith , R. L. 1985 . “Maximum Likelihood Estimation in a Class of Nonregular Cases,” . Biometrika , 72 : 67 – 90 .
  • Smith , R. L. 1987 . “Estimating Tails of Probability Distributions,” . The Annals of Statistics , 15 : 1174 – 1207 .
  • Smith , R. L. 1989 . “Extreme Value Analysis of Environmental Time Series: An Application to Trend Detection in Ground-Level Ozone,” . Statistical Science , 4 : 367 – 393 .

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.