Date of Award:
5-1988
Document Type:
Thesis
Degree Name:
Master of Science (MS)
Department:
Mathematics and Statistics
Committee Chair(s)
Ronald V. Canfield
Committee
Ronald V. Canfield
Committee
Donald V. Sisson
Committee
Robert V. Campbell
Abstract
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.
Checksum
0ebd497dba9067dec58f5623934cbcde
Recommended Citation
Lin, Der-Chen, "Parameter Estimation for Generalized Pareto Distribution" (1988). All Graduate Theses and Dissertations, Spring 1920 to Summer 2023. 6974.
https://digitalcommons.usu.edu/etd/6974
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