Likelihood inference for generalized Pareto distribution

A new methodological approach that enables the use of the maximum likelihood method in the Generalized Pareto Distribution is presented. Thus several models for the same data can be compared under Akaike and Bayesian information criteria. The view is based on a detailed theoretical study of the Generalized Pareto Distribution submodels with compact support.

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Year of publication:	2015
Authors:	Castillo, Joan del ; Serra, Isabel
Published in:	Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 83.2015, C, p. 116-128
Publisher:	Elsevier
Subject:	Maximum likelihood estimation \| Model selection \| Akaike and Bayesian information criteria \| Extreme value theory \| Bilbao data

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011117695