Estimation of the shape parameter of a generalized pareto distribution based on a transformation to pareto distributed variables

被引：5
|
作者：
Van Zyl J.M. [1 ]
机构：
[1] Department of Mathematical Statistics and Actuarial Science, University of the Free State, PO Box 339, Bloemfontein
来源：
Journal of Statistical Theory and Practice | 2015年 / 9卷 / 1期
关键词：
Estimation; Generalized Pareto; Pareto; Transformation;
D O I：
10.1080/15598608.2013.865106
中图分类号：
学科分类号：
摘要：
Random variables of the generalized three-parameter Pareto distribution can be transformed to that of the Pareto distribution using an affine parameter-dependent transformation. Explicit expressions exist for the maximum likelihood estimators of the parameters of the Pareto distribution. The performance of the estimation of the shape parameter of generalized Pareto distributed using estimated parameters to perform the transformation is tested. It was found to improve the performance with respect to relative efficiency. Copyright © Grace Scientific Publishing, LLC.
引用
收藏
页码：171 / 183
页数：12
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