Estimation of the generalized Pareto distribution

Joan del Castillo; Jalila Daoudi

doi:10.1016/j.spl.2008.10.021

Estimation of the generalized Pareto distribution

Joan del Castillo, Jalila Daoudi

Departament de Matemàtiques

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This paper provides precise arguments to explain the anomalous behavior of the likelihood surface when sampling from the generalized Pareto distribution for small or moderate samples. The behavior of the profile-likelihood function is characterized in terms of the empirical coefficient of variation. A sufficient condition is given for the global maximum of the likelihood function of the Pareto distribution to be at a finite point. © 2008 Elsevier B.V. All rights reserved.

Idioma original	Anglès
Pàgines (de-a)	684-688
Revista	Statistics and Probability Letters
Volum	79
DOIs	https://doi.org/10.1016/j.spl.2008.10.021
Estat de la publicació	Publicada - 1 de març 2009

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10.1016/j.spl.2008.10.021

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title = "Estimation of the generalized Pareto distribution",

abstract = "This paper provides precise arguments to explain the anomalous behavior of the likelihood surface when sampling from the generalized Pareto distribution for small or moderate samples. The behavior of the profile-likelihood function is characterized in terms of the empirical coefficient of variation. A sufficient condition is given for the global maximum of the likelihood function of the Pareto distribution to be at a finite point. {\textcopyright} 2008 Elsevier B.V. All rights reserved.",

author = "{del Castillo}, Joan and Jalila Daoudi",

year = "2009",

month = mar,

day = "1",

doi = "10.1016/j.spl.2008.10.021",

language = "English",

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journal = "Statistics and Probability Letters",

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T1 - Estimation of the generalized Pareto distribution

AU - del Castillo, Joan

AU - Daoudi, Jalila

PY - 2009/3/1

Y1 - 2009/3/1

N2 - This paper provides precise arguments to explain the anomalous behavior of the likelihood surface when sampling from the generalized Pareto distribution for small or moderate samples. The behavior of the profile-likelihood function is characterized in terms of the empirical coefficient of variation. A sufficient condition is given for the global maximum of the likelihood function of the Pareto distribution to be at a finite point. © 2008 Elsevier B.V. All rights reserved.

AB - This paper provides precise arguments to explain the anomalous behavior of the likelihood surface when sampling from the generalized Pareto distribution for small or moderate samples. The behavior of the profile-likelihood function is characterized in terms of the empirical coefficient of variation. A sufficient condition is given for the global maximum of the likelihood function of the Pareto distribution to be at a finite point. © 2008 Elsevier B.V. All rights reserved.

U2 - 10.1016/j.spl.2008.10.021

DO - 10.1016/j.spl.2008.10.021

M3 - Article

SN - 0167-7152

VL - 79

SP - 684

EP - 688

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -

Estimation of the generalized Pareto distribution

Resum

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