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Parameter estimation for 2-parameter generalized pareto distribution by POME (1997)

Singh, V. P. ; Guo, H.

Springer

Stochastic environmental research and risk assessment 11 (1997), S. 211-227

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ISSN: 1436-3259

Source: Springer Online Journal Archives 1860-2000

Topics: Architecture, Civil Engineering, Surveying , Energy, Environment Protection, Nuclear Power Engineering , Geography , Geosciences

Notes: Abstract The principle of maximum entropy (POME) was employed to derive a new method of parameter estimation for the 2-parameter generalized Pareto (GP2) distribution. Monte Carlo simulated data were used to evaluate this method and compare it with the methods of moments (MOM), probability weighted moments (PWM), and maximum likelihood estimation (MLE). The parameter estimates yielded by POME were comparable or better within certain ranges of sample size and coefficient of variation.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1007/BF02427916

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