Estimation of the shape parameter of a generalized Pareto distribution based on a transformation to Pareto distributed variables

J. Martin van Zyl

Papers from arXiv.org

Abstract: Random variables of the generalized Pareto distribution, can be transformed to that of the Pareto distribution. Explicit expressions exist for the maximum likelihood estimators of the parameters of the Pareto distribution. The performance of the estimation of the shape parameter of generalized Pareto distributed using transformed observations, based on the probability weighted method is tested. It was found to improve the performance of the probability weighted estimator and performs good with respect to bias and MSE.

Date: 2012-10, Revised 2012-12
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Published in Journal of Statistical Theory and Practice, 2015, 9(1), pp. 171-183

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