Robust Estimation of the Generalized Pareto Distribution
By Liang Peng, Alan H. Welsh, Alan H. Welsh. 2001
75 citations recorded by the source corpus.
Subfields: Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/6360442b4ac1507d3162b23dec7b8dac01eb41c7
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Andreas Kleefeld
- R. Deidda
- Michelangelo Puliga
- Maria-Pia Victoria-Feser
- Sergio F. Juárez
- Vytaras Brazauskas
- Debbie J. Dupuis
- William R. Schucany
In Statistics and Probability
- R. Deidda
- Andreas Kleefeld
- Michelangelo Puliga
- Vytaras Brazauskas
- Maria-Pia Victoria-Feser
- Sergio F. Juárez
- Debbie J. Dupuis
- William R. Schucany
Citations in the corpus
- 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).”
- Performances of some parameter estimators of the generalized Pareto distribution over rounded-off samples (2009, background): “This estimator is the most CPU time intensive, it was designed to be resistant to outliers (Peng and Welsh, 2001).”
- Robust and Efficient Estimation for the Generalized Pareto Distribution (2004, methodology): “We used several of the parameter values from Peng and Welsh (2002).”
- A robust prediction error criterion for pareto modelling of upper tails (2005, methodology): “Robust estimation of extreme value distributions has been studied by Victoria-Feser & Ronchetti (1994) and Vandewalle, Beirlant & Hubert (2004) for the Pareto model, by Peng & Welsh (2001) for the Generalized Pareto model, and by Dupuis & Field (2004) for these and other distributions.”
- 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).”