Estimation of the shape parameter of a generalized Pareto distribution based on a transformation to...
Estimation of the shape parameter of a generalized Pareto distribution based on a transformation to Pareto distributed variables
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St. Louis: Federal Reserve Bank of St. Louis
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English
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St. Louis: Federal Reserve Bank of St. Louis
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Random variables of the generalized Pareto distribution, can be transformed to that of the Pareto distribution. 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 transformed observations, base...
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Estimation of the shape parameter of a generalized Pareto distribution based on a transformation to Pareto distributed variables
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TN_cdi_proquest_journals_1697578441
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_1697578441
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https://www.proquest.com/docview/1697578441?pq-origsite=primo&accountid=13902
