Efficient likelihood-based inference for the generalized Pareto distribution
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DOI: 10.1007/s10463-020-00782-z
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- Castillo, Joan del & Serra, Isabel, 2015. "Likelihood inference for generalized Pareto distribution," Computational Statistics & Data Analysis, Elsevier, vol. 83(C), pages 116-128.
- David E. Giles & Hui Feng & Ryan T. Godwin, 2016.
"Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution,"
Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(8), pages 2465-2483, April.
- David E. Giles & Hui Feng, 2009. "Bias - Corrected Maximum Likelihood Estimation of the Parameters of the Generalized Pareto Distribution," Econometrics Working Papers 0902, Department of Economics, University of Victoria.
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Keywords
Asymptotic normality; Interval estimation; Hypothesis testing; Non-regularity problem; Extreme value; Peaks over threshold;All these keywords.
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