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From the General Affine Transform Family to a Pareto Type IV Model

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  • Werner Hürlimann

Abstract

The analytical form of general affine transform families with given maximum likelihood estimators for the affine parameters is determined. In this context, the simultaneous maximum likelihood equations of the affine parameters in the generalised Pareto distribution cannot have a common solution. This pathological situation is removed by extending it to a four parameter family, called Pareto type IV model.

Suggested Citation

  • Werner Hürlimann, 2009. "From the General Affine Transform Family to a Pareto Type IV Model," Journal of Probability and Statistics, Hindawi, vol. 2009, pages 1-10, November.
    • Handle: RePEc:hin:jnljps:364901
    DOI: 10.1155/2009/364901
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