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Parameter estimation for 3-parameter generalized pareto distribution by the principle of maximum entropy (POME)

1995; Taylor & Francis; Volume: 40; Issue: 2 Linguagem: Inglês

10.1080/02626669509491402

2150-3435

Vijay P. Singh, Hongcheng Guo,

Statistical Distribution Estimation and Applications

Abstract The principle of maximum entropy (POME) is employed to derive a new method of parameter estimation for the 3-parameter generalized Pareto (GP) distribution. Monte Carlo simulated data are 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 the POME are either superior or comparable for high skewness.