Bias - Corrected Maximum Likelihood Estimation of the Parameters of the Generalized Pareto Distribution
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.
|Date of creation:||23 Jan 2009|
|Date of revision:|
|Contact details of provider:|| Postal: PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2|
Web page: http://web.uvic.ca/econ
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