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Parameter estimation for 2-parameter generalized Pareto distribution by POME. (English) Zbl 0890.62003
Summary: 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.

MSC:
62B10 Statistical aspects of information-theoretic topics
62F10 Point estimation
65C05 Monte Carlo methods
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