淡江大學機構典藏:Item 987654321/41185
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    题名: Estimation for the generalized Pareto distribution with censored data
    作者: 林千代;Lin, Chien-tai;Wang, Wen-yen
    贡献者: 淡江大學數學學系
    关键词: Maximum likelihood;parameter estimation;statistical computing
    日期: 2000-11-01
    上传时间: 2010-01-28 06:52:45 (UTC+8)
    出版者: Taylor & Francis
    摘要: We present a methodology for computing the point and interval maximum likelihood parameter estimation for the two-parameter generalized Pareto distribution (GPD) with censored data. The basic idea underlying our method is a reduction of the two-dimensional numerical search for the zeros of the GPD log-likelihood gradient vector to a one-dimensional numerical search. We describe a computationally efficient algorithm which implement this approach. Two illustrative examples are presented. Simulation results indicate that the estimates derived by maximum likelihood estimation are more reliable against those of method of moments. An evaluation of the practical sample size requirements for the asymptotic normality is also included.
    關聯: Communications in Statistics: Simulation and Computation 29(4), pp.1183-1213
    DOI: 10.1080/03610910008813660
    显示于类别:[數學學系暨研究所] 期刊論文

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