Estimation of the shape parameter of a generalized Pareto distribution based on a transformation to Pareto distributed variables

Preprint English OPEN
J. Martin van Zyl;
(2012)
  • Subject: Quantitative Finance - Computational Finance | Statistics - Methodology
    acm: TheoryofComputation_MISCELLANEOUS
    arxiv: Computer Science::Computer Science and Game Theory

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 ... View more
Share - Bookmark