Estimation of the Shape Parameter of a Generalized Pareto Distribution Based on a Transformation to Pareto Distributed Variables
Random variables of the generalized three-parameter Pareto distribution can be transformed to that of the Pareto distribution using an affine parameter-dependent transformation. 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 estimated parameters to perform the transformation is tested. It was found to improve the performance with respect to relative efficiency.
KeywordsGeneralized Pareto Estimation Pareto Transformation
AMS Subject Classification62F10 62E17
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