Estimation of the generalized Pareto distribution

Joan del Castillo; Jalila Daoudi

doi:https://doi.org/10.1016/j.spl.2008.10.021

Estimation of the generalized Pareto distribution

Joan del Castillo, Jalila Daoudi

Department of Mathematics

Research output: Contribution to journal › Article › Research › peer-review

29 Citations (Scopus)

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. © 2008 Elsevier B.V. All rights reserved.

Original language	English
Pages (from-to)	684-688
Journal	Statistics and Probability Letters
Volume	79
DOIs	https://doi.org/10.1016/j.spl.2008.10.021
Publication status	Published - 1 Mar 2009

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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.",

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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.

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EP - 688

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -

Estimation of the generalized Pareto distribution

Abstract

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