| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1153137 | Statistics & Probability Letters | 2009 | 5 Pages |
Abstract
This paper provides precise arguments to explain the anomalous behavior of the likelihood surface when sampling from the generalized Pareto distribution for small or moderate samples. The behavior of the profile-likelihood function is characterized in terms of the empirical coefficient of variation. A sufficient condition is given for the global maximum of the likelihood function of the Pareto distribution to be at a finite point.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Joan del Castillo, Jalila Daoudi,