Likelihood inference for generalized Pareto distribution

Joan del Castillo and Isabel Serra

Computational Statistics & Data Analysis, 2015, vol. 83, issue C, 116-128

Abstract: 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.

Keywords: Maximum likelihood estimation; Model selection; Akaike and Bayesian information criteria; Extreme value theory; Bilbao data (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:83:y:2015:i:c:p:116-128

DOI: 10.1016/j.csda.2014.10.014

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