From the General Affine Transform Family to a Pareto Type IV Model

Werner Hürlimann

Journal of Probability and Statistics, 2009, vol. 2009, 1-10

Abstract:

The analytical form of general affine transform families with given maximum likelihood estimators for the affine parameters is determined. In this context, the simultaneous maximum likelihood equations of the affine parameters in the generalised Pareto distribution cannot have a common solution. This pathological situation is removed by extending it to a four parameter family, called Pareto type IV model.

Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljps:364901

DOI: 10.1155/2009/364901

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