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Volumn 12, Issue 1, 2009, Pages 93-105

Generalizing the Pareto to the log-Pareto model and statistical inference

Author keywords

Copepod data; Exceedances; Log Pareto and generalized log Pareto dfs; MLE; P max and p pot stable dfs; Pareto; Quick estimators; Super heavy tails

Indexed keywords


EID: 59449106244     PISSN: 13861999     EISSN: 1572915X     Source Type: Journal    
DOI: 10.1007/s10687-008-0070-6     Document Type: Article
Times cited : (16)

References (18)
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    • Balkema, A.A.1    De Haan, L.2
  • 2
    • 0031329205 scopus 로고    scopus 로고
    • Fitting the generalized Pareto distribution to data
    • E. Castillo A.S. Hadi 1997 Fitting the generalized Pareto distribution to data JASA 92 1609 1620
    • (1997) JASA , vol.92 , pp. 1609-1620
    • Castillo, E.1    Hadi, A.S.2
  • 3
    • 21644454521 scopus 로고    scopus 로고
    • Importance sampling with the generalized exponential power density
    • A. Desgagné J.-F. Angers 2005 Importance sampling with the generalized exponential power density Stat. Comput. 15 189 195
    • (2005) Stat. Comput. , vol.15 , pp. 189-195
    • Desgagné, A.1    Angers, J.-F.2
  • 5
    • 30444434892 scopus 로고    scopus 로고
    • Quasi-conjugate Bayes estimates for GPD parameters and application to heavy tails modelling
    • J. Diebolt M.-A. El-Aroui M. Garrido S. Girard 2005 Quasi-conjugate Bayes estimates for GPD parameters and application to heavy tails modelling Extremes 8 57 78
    • (2005) Extremes , vol.8 , pp. 57-78
    • Diebolt, J.1    El-Aroui, M.-A.2    Garrido, M.3    Girard, S.4
  • 12
    • 0001075431 scopus 로고
    • Statistical inference using extreme order statistic
    • J. Pickands 1975 Statistical inference using extreme order statistic Ann. Stat. 3 1163 1174
    • (1975) Ann. Stat. , vol.3 , pp. 1163-1174
    • Pickands, J.1
  • 17
    • 38149148360 scopus 로고
    • On max domains of attraction of univariate p-max stable laws
    • U.R. Subramanya 1994 On max domains of attraction of univariate p-max stable laws Stat. Probab. Lett. 19 271 279
    • (1994) Stat. Probab. Lett. , vol.19 , pp. 271-279
    • Subramanya, U.R.1
  • 18
    • 10244242692 scopus 로고    scopus 로고
    • Recurrence properties of autoregressive processes with super-heavy-tailed innovation
    • A. Zeevi P.W. Glynn 2004 Recurrence properties of autoregressive processes with super-heavy-tailed innovation J. Appl. Probab. 41 639 653
    • (2004) J. Appl. Probab. , vol.41 , pp. 639-653
    • Zeevi, A.1    Glynn, P.W.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.