LIKELIHOOD MOMENT ESTIMATION FOR THE GENERALIZED PARETO DISTRIBUTION

By Jin Zhang. 2007

115 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/3142535471b9258dc24e34c46b31cdff598f8f9b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. R. Deidda
2. Michelangelo Puliga
3. Xuebin Zhang
4. Jun Yan
5. Brian Bader

In Statistics and Probability

1. R. Deidda
2. Michelangelo Puliga

Citations in the corpus

• Performances of some parameter estimators of the generalized Pareto distribution over rounded-off samples (2009, methodology): “This method has recently been proposed by Zhang (2007) as a replacement for the PWM and moments method.”
• A multiple threshold method for fitting the generalized Pareto distribution to rainfall time series (2010, methodology): “Specifically, they considered some widely used estimators such as those based on maximum likelihood, simple moments and probability weighted moments ( Hosking and Wallis , 1987), as well as other recently proposed GPD estimators such as those based on the maximum penalized likelihood ( Coles and Dix”
• Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution (2016, unknown): “Alternative estimators for this distribution’s parameters have been proposed by Zhang (2007) and by Zhang and Stephens (2009).”