The generalized Pareto distribution was introduced by Pickands (1975). Three methods of estimating the parameters of the generalized Pareto distribution were compared by Hosking and Wallis (1987) . The methods are maximum likelihood, method of moments and probability-weighted moments.
An alternate method of estimation for the generalized Pareto distribution, based on least square regression of expected order statistics (REOS), is developed and evaluated in this thesis . A Monte Carlo comparison is made between this method and the estimating methods considered by Hosking and Wallis (1987). This method is shown to be generally superior to the maximum likelihood, method of moments and probability-weighted moments
| Identifer | oai:union.ndltd.org:UTAHS/oai:digitalcommons.usu.edu:etd-8080 |
| Date | 01 May 1988 |
| Creators | Lin, Der-Chen |
| Publisher | DigitalCommons@USU |
| Source Sets | Utah State University |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | All Graduate Theses and Dissertations |
| Rights | Copyright for this work is held by the author. Transmission or reproduction of materials protected by copyright beyond that allowed by fair use requires the written permission of the copyright owners. Works not in the public domain cannot be commercially exploited without permission of the copyright owner. Responsibility for any use rests exclusively with the user. For more information contact digitalcommons@usu.edu. |
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