Parameter Estimation of the Generalized Pareto Distribution Using Robust Location and Scale Measures for Order Statistics
| المصدر: | مجلة التجارة والتمويل |
|---|---|
| الناشر: | جامعة طنطا - كلية التجارة |
| المؤلف الرئيسي: | Gaafar, Mohammad Ibrahim Ahmmad Soliman (Author) |
| المجلد/العدد: | ع4 |
| محكمة: | نعم |
| الدولة: |
مصر |
| التاريخ الميلادي: |
2023
|
| الشهر: | ديسمبر |
| الصفحات: | 247 - 266 |
| ISSN: |
1110-4716 |
| رقم MD: | 1451411 |
| نوع المحتوى: | بحوث ومقالات |
| اللغة: | الإنجليزية |
| قواعد المعلومات: | EcoLink |
| مواضيع: | |
| كلمات المؤلف المفتاحية: |
Generalized Pareto Distribution | Extreme Value Theory | The Peaks Over Threshold Approach | Uniform and Exponential Order Statistics | The Inverse Regularized Incomplete Beta Function
|
| رابط المحتوى: |
عدد مرات التحميل
1
| المستخلص: |
In this paper, a new robust weighted two-step method is proposed for estimating the parameters of the generalized Pareto distribution (GPD). Through two simulation studies, the empirical performance of the proposed estimator is evaluated and compared with some competitor existing estimators. The methods were applied to a real-life data. Simulation and application results reflect the stability of the empirical performance of the proposed estimator and also show that, in most cases, the proposed estimator outperforms all other competitor estimators under investigation or at least equally likely with them. |
|---|---|
| ISSN: |
1110-4716 |
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