Robust and Efficient Estimation for the Generalized Pareto Distribution
By Sergio F. Juárez, William R. Schucany. 2004
90 citations recorded by the source corpus.
Subfields: Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/102df408c6ef5aa7dab834c87db514ec1a2d6a01
How researchers see this paper
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In Statistics and Probability
- Andreas Kleefeld
- R. Deidda
- Michelangelo Puliga
- Milan Stehlík
- Dieter Schell
- Jan Beran
- Vytaras Brazauskas
- Yuanhua Feng
Citations in the corpus
- Robust Value at Risk Prediction (2007, unknown): “Furthermore, as shown in Juárez and Schucany (2004), estimator q compares favorably also with respect to more involved robust extreme value estimators when the true distribution has support [0,+∞), which is the relevant case for our application.”
- Performances of some parameter estimators of the generalized Pareto distribution over rounded-off samples (2009, methodology): “Juárez and Schucany (2004) analyze the performances of the MLE estimator on contaminated GPD samples showing that the MLE method lacks robustness: they introduce a robustified MLE method known as minimum divergence power density MDPD estimator.”
- Modeling Severity and Measuring Tail Risk of Norwegian Fire Claims (2016, methodology): “Some authors have tried to manage this problem by employing robust procedures to estimate the parameters of GPD (see, for example, Dupuis, 1998, Peng and Welsh, 2001, Juárez and Schucany, 2004, and Brazauskas and Kleefeld, 2009).”
- A multiple threshold method for fitting the generalized Pareto distribution to rainfall time series (2010, background): “…1987), as well as other recently proposed GPD estimators such as those based on the maximum penalized likelihood (Coles and Dixon, 1999), the minimum density power divergence (Júarez and Schucany, 2004), the likelihood moment estimator (Zhang, 2007), the median estimator (Peng and Welsh, 2001).”
- The harmonic moment tail index estimator: asymptotic distribution and robustness (2014, methodology): “Robust tail index estimation for the generalized Pareto distribution is also considered in Peng and Welsh (2002) and Juárez and Schucany (2004).”