Estimation of the generalized Pareto distribution

Joan del Castillo, Jalila Daoudi

Research output: Contribution to journalArticleResearchpeer-review

27 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 languageEnglish
Pages (from-to)684-688
JournalStatistics and Probability Letters
Volume79
DOIs
Publication statusPublished - 1 Mar 2009

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