A COMPARATIVE EVALUATION OF THE ESTIMATORS OF THE THREE-PARAMETER GENERALIZED PARETO DISTRIBUTION

摘要

The parameters and quantiles of the three-parameter generalized Pareto distribution (GPD3) were estimated using six methods for Monte Carlo generated samples. The parameter estimators were the moment estimator and its two variants, probability-weighted moment estimator, maximum likelihood estimator, and entropy estimator. Parameters were investigated using a factorial experiment. The performance of these estimators was statistically compared, with the objective of identifying the most robust estimator from amongst them.