On the ABLUE of the scale parameter of the generalized Pareto distribution
DOI:
https://doi.org/10.5556/j.tkjm.31.2000.390Abstract
We study the asymptotic best linear unbiased estimation of the scale parameter of the generalized Pareto distribution (GPD) with the probability density function (p.d.f.)$$ f(x)=\left\{\begin{array}{ll} \sigma^{-1}(1-rx/\sigma)^{1/r-1},~~&r\not=0 \\ \sigma^{-1}\exp(-x/\sigma),~~&r=0. \end{array}\right.$$
In Cheng and Chou (2000), the best linear unbiased estimation of the scale parameter was discussed for finite samples. We study the large sample size cases here. Results of some chosen cases are tabulated.
Downloads
Published
2000-12-31
How to Cite
Cheng, S. W., & Chou, C. H. (2000). On the ABLUE of the scale parameter of the generalized Pareto distribution. Tamkang Journal of Mathematics, 31(4), 317–330. https://doi.org/10.5556/j.tkjm.31.2000.390
Issue
Section
Papers