Asymptotic behaviour of regular estimators

Autor:	Jean Diebolt, Armelle Guillou
Jazyk:	angličtina
Rok vydání:	2005
Předmět:	extreme values domain of attraction excesses generalized Pareto distribution maximum likelihood estimators Statistics HA1-4737 Probabilities. Mathematical statistics QA273-280
Zdroj:	Revstat Statistical Journal, Vol 3, Iss 1 (2005)
Druh dokumentu:	article
ISSN:	1645-6726 2183-0371
DOI:	10.57805/revstat.v3i1.16
Popis:	The P.O.T. (Peaks-Over-Threshold) approach consists of using the generalized Pareto distribution (GPD) to approximate the distribution of excesses over thresholds. We use the maximum likelihood estimators, or some other ones satisfying regularity conditions, to estimate the parameters of the approximating distribution. We study the asymptotic bias of these estimators and also the functional bias of the estimated GPD.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/538def404bc84ccabcc5135ab2c67b66 Zobrazit plný text záznamu View record in DOAJ