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

页码：601 / 607

页数：7

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Interval estimation of P(Y &lt; X) for generalized Pareto distribution

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