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

被引：20

作者：

Huesler, Juerg ^{[2
]}

Li, Deyuan ^{[1
]}

Raschke, Mathias ^{[3
]}

机构：

[1] Fudan Univ, Sch Management, Dept Stat, Shanghai 200433, Peoples R China

[2] Univ Bern, Dept Math Stat, Bern, Switzerland

[3] IWSO, Weimar, Germany

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2011年 / 40卷 / 14期

基金：

瑞士国家科学基金会;

关键词：

Asymptotic distribution; Estimation; Generalized pareto distribution; Maximum likelihood;

D O I：

10.1080/03610920903324874

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this article, we introduce a new estimator for the generalized Pareto distribution, which is based on the maximum likelihood estimation and the goodness of fit. The asymptotic normality of the new estimator is shown and a small simulation. From the simulation, the performance of the new estimator is roughly comparable with maximum likelihood for positive values of the shape parameter and often much better than maximum likelihood for negative values.

引用

页码：2500 / 2510

页数：11

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