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A New and Efficient Estimation Method for the Generalized Pareto Distribution

Summary: [This abstract is based on the authors' abstract.] A new estimator is proposed for estimating the generalized Pareto distribution parameters that is free from the theoretical and computational problems observed in existing methods. The new estimator is computationally easy and performs well compared with existing estimators. An example involving heights of waves illustrates the various methods.

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  • Topics: Problem Solving, Process Capability, Process Management
  • Keywords: Efficiency, Maximum likelihood estimate (MLE), Moment estimation, Probability
  • Author: Zhang, Jin; Stephens, Michael A.
  • Journal: Technometrics