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摘要翻译：
随机变量的广义Pareto分布，可以转化为随机变量的Pareto分布。Pareto分布参数的极大似然估计有显式表达式。检验了基于概率加权的变换观测值估计广义Pareto分布形状参数的性能。结果表明，改进了概率加权估计器的性能，在偏差和均方差方面表现良好。
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英文标题：
《Estimation of the shape parameter of a generalized Pareto distribution
based on a transformation to Pareto distributed variables》
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作者：
J. Martin van Zyl
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最新提交年份：
2012
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Statistics 统计学
二级分类：Methodology 方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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英文摘要：
Random variables of the generalized Pareto distribution, can be transformed to that of the Pareto distribution. Explicit expressions exist for the maximum likelihood estimators of the parameters of the Pareto distribution. The performance of the estimation of the shape parameter of generalized Pareto distributed using transformed observations, based on the probability weighted method is tested. It was found to improve the performance of the probability weighted estimator and performs good with respect to bias and MSE.
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PDF链接：
https://arxiv.org/pdf/1210.7642
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