Likelihood inference for generalized Pareto distribution

Joan Del Castillo, Isabel Serra

Research output: Contribution to journalArticleResearchpeer-review

23 Citations (Scopus)

Abstract

© 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.
Original languageEnglish
Pages (from-to)116-128
JournalComputational Statistics and Data Analysis
Volume83
DOIs
Publication statusPublished - 1 Jan 2015

Keywords

  • Akaike and Bayesian information criteria
  • Bilbao data
  • Extreme value theory
  • Maximum likelihood estimation
  • Model selection

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