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QICID: 30515
Title: A New and Efficient Estimation Method for the Generalized Pareto Distribution
Copyright: ASQ; American Statistical Association
Author: Zhang, Jin; Stephens, Michael A.
Organization: School of Mathematics and Statistics, Yunnan University; Department of Statistics and Actuarial Science, Simon Fraser University
Subject: Efficiency; Maximum likelihood estimate (MLE); Moment estimation; Probability;
Series: Technometrics, Vol. 51, No. 3, August 2009, pp. 316–325
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Abstract: [This abstract is based on the authors' abstract.]
A new estimator is proposed for estimating the generalized Pareto distribution parameters that is free from the theoretical and computational problems observed in existing methods. The new estimator is computationally easy and performs well compared with existing estimators. An example involving heights of waves illustrates the various methods.
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