PARAMETER-ESTIMATION FOR 2-PARAMETER GENERALIZED PARETO DISTRIBUTION BY POME

Authors
SINGH VP GUO H
Citation
Vp. Singh et H. Guo, PARAMETER-ESTIMATION FOR 2-PARAMETER GENERALIZED PARETO DISTRIBUTION BY POME, Stochastic hydrology and hydraulics, 11(3), 1997, pp. 211-227
Citations number
28
Categorie Soggetti
Mathematical Method, Physical Science","Water Resources","Environmental Sciences","Statistic & Probability
Journal title
Stochastic hydrology and hydraulics → ACNP
ISSN journal
09311955
Volume
11
Issue
3
Year of publication
1997
Pages
211 - 227
Database
ISI
SICI code
0931-1955(1997)11:3<211:PF2GPD>2.0.ZU;2-4
Abstract
The principle of maximum entropy (POME) was employed to derive a new m ethod of parameter estimation for the 2-parameter generalized Pareto ( GP2) distribution. Monte Carlo simulated data were used to evaluate th is method and compare it with the methods of moments (MOM), probabilit y 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.