Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution

By David E. A. Giles, Hui Feng, Ryan T. Godwin. 2016

48 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/009922eca0e25d834f4d5ac8d31db1e1553773c3

Citations in the corpus

• Posterior propriety in Bayesian extreme value analyses using reference priors (2015, unknown): “Then (Giles and Feng, 2009) E(Zr) = r!σr r∏ i=1 (1− iξ) , r = 1, 2, . . . . (6.1) Now suppose that ξ < 0.”