Parameter Estimation of the Generalized Pareto Distribution Using Robust Location and Scale Measures for Order Statistics - Egyptian Knowledge Bank

336197

Parameter Estimation of the Generalized Pareto Distribution Using Robust Location and Scale Measures for Order Statistics

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Last updated: 25 Dec 2024

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Abstract

In this paper, a new robust weighted two-step method is proposed for estimating the parameters of the generalized Pareto distribution (GPD). Through two simulation studies, the empirical performance of the proposed estimator is evaluated and compared with some competitor existing estimators. The methods were applied to a real-life data. Simulation and application results reflect the stability of the empirical performance of the proposed estimator and also show that, in most cases, the proposed estimator outperforms all other competitor estimators under investigation or at least equally likely with them.

DOI

10.21608/caf.2023.336197

Keywords

Generalized Pareto Distribution, Extreme Value Theory, The Peaks over Threshold Approach, Uniform and Exponential Order Statistics, The Inverse Regularized Incomplete Beta Function

Authors

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First Name

Mohammad Ibrahim Ahmmad Soliman

Last Name

Gaafar

MiddleName

Affiliation

Department of Statistics, Faculty of Commerce, Alexandria University, Alexandria, Egypt.

Email

aswanybakkar@yahoo.com

City

Orcid

Volume

Article Issue

Related Issue

45516

Issue Date

2023-12-01

Receive Date

2023-09-13

Publish Date

2023-12-01

Page Start

247

Page End

266

Print ISSN

1110-4716

Online ISSN

2682-4825

Article File

CAF_Volume 43_Issue 4_Pages 247-266.pdf

PDF . 2.4MB

Link

https://caf.journals.ekb.eg/article_336197.html

Detail API

https://caf.journals.ekb.eg/service?article_code=336197

Order

336,197

Publication Type

Journal

Publication Title

التجارة والتمويل

Publication Link

https://caf.journals.ekb.eg/

MainTitle