In this paper, a new robust weighted two-step method is proposed for estimating the parameters of the generalized Pareto distribution (GPD). Through two simulation studies, the empirical performance of the proposed estimator is evaluated and compared with some competitor existing estimators. The methods were applied to a real-life data. Simulation and application results reflect the stability of the empirical performance of the proposed estimator and also show that, in most cases, the proposed estimator outperforms all other competitor estimators under investigation or at least equally likely with them.
Gaafar, Mohammad Ibrahim Ahmmad Soliman. (2023). Parameter Estimation of the Generalized Pareto Distribution Using Robust Location and Scale Measures for Order Statistics. التجارة والتمويل, 43(4), 247-266. doi: 10.21608/caf.2023.336197
MLA
Mohammad Ibrahim Ahmmad Soliman Gaafar. "Parameter Estimation of the Generalized Pareto Distribution Using Robust Location and Scale Measures for Order Statistics", التجارة والتمويل, 43, 4, 2023, 247-266. doi: 10.21608/caf.2023.336197
HARVARD
Gaafar, Mohammad Ibrahim Ahmmad Soliman. (2023). 'Parameter Estimation of the Generalized Pareto Distribution Using Robust Location and Scale Measures for Order Statistics', التجارة والتمويل, 43(4), pp. 247-266. doi: 10.21608/caf.2023.336197
VANCOUVER
Gaafar, Mohammad Ibrahim Ahmmad Soliman. Parameter Estimation of the Generalized Pareto Distribution Using Robust Location and Scale Measures for Order Statistics. التجارة والتمويل, 2023; 43(4): 247-266. doi: 10.21608/caf.2023.336197
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