We derive analytic expressions for the biases, to O(n-1) of the maximum likelihood estimators of the parameters of the generalized Pareto distribution. Using these expressions to bias-correct the estimators is found to be extremely effective in terms of bias reduction, and generally results in some reduction in relative mean squared error. The analytic bias-corrected estimators are also shown to be dramatically superior to the alternative of bias-correction via the bootstrap.
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Paper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number
0902.
Length: 17 pages Date of creation: 23 Jan 2009 Date of revision: Handle: RePEc:vic:vicewp:0902
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Find related papers by JEL classification: C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Econometric and Statistical Methods; Specific Distributions C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
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