Estimation of for generalized Pareto distribution

@inproceedings{Rezaei2010EstimationOF,
  title={Estimation of for generalized Pareto distribution},
  author={Sadegh Rezaei and Rasool Tahmasbi and Manijeh Mahmoodi},
  year={2010}
}
Abstract This paper deals with the estimation of P [ Y X ] when X and Y are two independent generalized Pareto distributions with different parameters. The maximum likelihood estimator and its asymptotic distribution are obtained. An asymptotic confidence interval of P [ Y X ] is constructed using the asymptotic distribution. Assuming that the common scale parameter is known, MLE, UMVUE, Bayes estimation of R and confidence interval are obtained. The ML estimator of R , asymptotic distribution… CONTINUE READING
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