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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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  • J. Martin van Zyl
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    Abstract

    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, based on the probability weighted method is tested. It was found to improve the performance of the probability weighted estimator and performs good with respect to bias and MSE.

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    File URL: http://arxiv.org/pdf/1210.7642
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1210.7642.

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    Date of creation: Oct 2012
    Date of revision: Dec 2012
    Handle: RePEc:arx:papers:1210.7642

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    Web page: http://arxiv.org/

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    1. del Castillo, Joan & Daoudi, Jalila, 2009. "Estimation of the generalized Pareto distribution," Statistics & Probability Letters, Elsevier, Elsevier, vol. 79(5), pages 684-688, March.
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