Parameter Estimation of the Generalized Pareto Distribution Using Robust Location and Scale Measures for Order Statistics | ||
| التجارة والتمويل | ||
| Volume 43, Issue 4, December 2023, Pages 247-266 PDF (2.32 M) | ||
| DOI: 10.21608/caf.2023.336197 | ||
| Author | ||
| Mohammad Ibrahim Ahmmad Soliman Gaafar | ||
| Department of Statistics, Faculty of Commerce, Alexandria University, Alexandria, Egypt. | ||
| Abstract | ||
| In this paper, a new robust weighted two-step method is proposed for estimating the parameters of the generalized Pareto distribution (GPD). Through two simulation studies, the empirical performance of the proposed estimator is evaluated and compared with some competitor existing estimators. The methods were applied to a real-life data. Simulation and application results reflect the stability of the empirical performance of the proposed estimator and also show that, in most cases, the proposed estimator outperforms all other competitor estimators under investigation or at least equally likely with them. | ||
| Keywords | ||
| Generalized Pareto Distribution; Extreme Value Theory; The Peaks over Threshold Approach; Uniform and Exponential Order Statistics; The Inverse Regularized Incomplete Beta Function | ||
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