© 2014 Elsevier B.V. All rights reserved. A new methodological approach that enables the use of the maximum likelihood method in the Generalized Pareto Distribution is presented. Thus several models for the same data can be compared under Akaike and Bayesian information criteria. The view is based on a detailed theoretical study of the Generalized Pareto Distribution submodels with compact support.
- Akaike and Bayesian information criteria
- Bilbao data
- Extreme value theory
- Maximum likelihood estimation
- Model selection