A comparative evaluation of the estimators of the three-parameter generalized pareto distribution Academic Article uri icon

abstract

  • The parameters and quantiles of the three-parameter generalized Pareto distribution (GPD3) were estimated using six methods for Monte Carlo generated samples. The parameter estimators were the moment estimator and its two variants, probability-weighted moment estimator, maximum likelihood estimator, and entropy estimator. Parameters were investigated using a factorial experiment. The performance of these estimators was statistically compared, with the objective of identifying the most robust estimator from amongst them.

author list (cited authors)

  • Singh, V. P., & Ahmad, M.

citation count

  • 11

publication date

  • February 2004