A new hybrid estimation method for the generalized pareto distribution

作者：Wang, Chunlin; Chen, Gemai^*

来源：Communications in Statistics - Theory and Methods, 2016, 45(14): 4285-4294.

DOI：10.1080/03610926.2014.919399

• Extreme values
• Maximum goodness-of-fit estimator
• Maximum likelihood estimator
• Minimum distance estimator
• Parameter profiling
• 62F10
• 62F40

The generalized Pareto distribution (GPD) is important in the analysis of extreme values, especially in modeling exceedances over thresholds. Most of the existing methods for estimating the scale and shape parameters of the GPD suffer from theoretical and/or computational problems. A new hybrid estimation method is proposed in this article, which minimizes a goodness-of-fit measure and incorporates some useful likelihood information. Compared with the maximum likelihood method and other leading methods, our new hybrid estimation method retains high efficiency, reduces the estimation bias, and is computation friendly.

• 出版日期2016
• 单位西南交通大学