Parameter and Quantile Estimation for the Generalized Pareto Distribution

作者：J. R. M. Hosking, James R. Wallis · 发表于：Technometrics · 年份：1987 · DOI：10.2307/1269343 · 被引用次数：994 · 研究领域：Hydrology and Drought Analysis、Financial Risk and Volatility Modeling、Statistical Distribution Estimation and Applications

The generalized Pareto distribution is a two-parameter distribution that contains uniform, exponential, and Pareto distributions as special cases. It has applications in a number of fields, including reliability studies and the analysis of environmental extreme events. Maximum likelihood estimation of the generalized Pareto distribution has previously been considered in the literature, but we show, using computer simulation, that, unless the sample size is 500 or more, estimators derived by the method of moments or the method of probability-weighted moments are more reliable. We also use computer simulation to assess the accuracy of confidence intervals for the parameters and quantiles of the generalized Pareto distribution.