Interval estimation of P(Y < X) for generalized Pareto distribution

被引：26
|
作者：
Wong, Augustine [1 ]
机构：
[1] York Univ, Dept Math & Stat, Toronto, ON M3J 1P3, Canada
来源：
JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 2012年 / 142卷 / 02期
关键词：
Canonical parameter; Exponential family model; Modified signed log-likelihood ratio statistic; Reliability; Stress-strength model; LOG LIKELIHOOD RATIO;
D O I：
10.1016/j.jspi.2011.04.024
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：
This paper deals with the interval estimation of P(Y < X) when X and Y are two independent generalized Pareto random variables with a common scale parameters. An asymptotic confidence interval for P(Y < X) is constructed based on the modified signed log-likelihood ratio statistic. Monte Carlo simulations are performed to illustrate the accuracy of the proposed method. (C) 2011 Elsevier B.V. All rights reserved.
引用
收藏
页码：601 / 607
页数：7
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