Parameter and Quantile Estimation for the Generalized Pareto Distribution

Technometrics ◽  
1987 ◽  
Vol 29 (3) ◽  
pp. 339-349 ◽  
Author(s):  
J. R.M. Hosking ◽  
J. R. Wallis
Keyword(s):  
Pareto Distribution ◽  
Generalized Pareto Distribution ◽  
Quantile Estimation ◽  
Generalized Pareto

scholarly journals Quantile estimation for the generalized pareto distribution with application to finance

2012 ◽  
Vol 22 (2) ◽  
pp. 297-311 ◽  
Author(s):  
Jelena Jockovic
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Pareto Distribution ◽  
Generalized Pareto Distribution ◽  
Quantile Estimation ◽  
Generalized Pareto ◽  
Pareto Distributions ◽  
Generalized Pareto Distributions

Generalized Pareto distributions (GPD) are widely used for modeling excesses over high thresholds (within the framework of the POT-approach to modeling extremes). The aim of the paper is to give the review of the classical techniques for estimating GPD quantiles, and to apply these methods in finance - to estimate the Value-at-Risk (VaR) parameter, and discuss certain difficulties related to this subject.

Inference on P(Y

2020 ◽  
Vol 72 (2) ◽  
pp. 89-110
Author(s):  
Manoj Chacko ◽  
Shiny Mathew
Keyword(s):  
Maximum Likelihood ◽  
Pareto Distribution ◽  
Generalized Pareto Distribution ◽  
Maximum Likelihood Estimators ◽  
Record Values ◽  
Asymptotic Distributions ◽  
Bayes Estimators ◽  
Generalized Pareto ◽  
Pareto Distributions ◽  
Generalized Pareto Distributions

In this article, the estimation of [Formula: see text] is considered when [Formula: see text] and [Formula: see text] are two independent generalized Pareto distributions. The maximum likelihood estimators and Bayes estimators of [Formula: see text] are obtained based on record values. The Asymptotic distributions are also obtained together with the corresponding confidence interval of [Formula: see text]. AMS 2000 subject classification: 90B25

scholarly journals The Gamma Generalized Pareto Distribution with Applications in Survival Analysis

2017 ◽  
Vol 6 (3) ◽  
pp. 141 ◽  
Author(s):  
Thiago A. N. De Andrade ◽  
Luz Milena Zea Fernandez ◽  
Frank Gomes-Silva ◽  
Gauss M. Cordeiro
Keyword(s):  
Monte Carlo Simulation ◽  
Pareto Distribution ◽  
Generalized Pareto Distribution ◽  
Real Data ◽  
Model Parameters ◽  
Monte Carlo Simulation Study ◽  
Lorenz Curves ◽  
Generalized Pareto ◽  
Mathematical Properties ◽  
Pareto Model

We study a three-parameter model named the gamma generalized Pareto distribution. This distribution extends the generalized Pareto model, which has many applications in areas such as insurance, reliability, finance and many others. We derive some of its characterizations and mathematical properties including explicit expressions for the density and quantile functions, ordinary and incomplete moments, mean deviations, Bonferroni and Lorenz curves, generating function, R\'enyi entropy and order statistics. We discuss the estimation of the model parameters by maximum likelihood. A small Monte Carlo simulation study and two applications to real data are presented. We hope that this distribution may be useful for modeling survival and reliability data.

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