Bayes Reliability Analysis of Parameters of Generalized Pareto Distribution under Different Loss Functions
Authors: 
Song Ying, Cao YuanpingAuthors Info & Claims
Song Ying, Cao YuanpingAuthors Info & ClaimsPages 58 - 61
Abstract
The generalized Pareto distribution is extensively used in the field of finance, insurance and natural disasters. The statistical inference for its parameter has been a hot spot of researches on its parameters. The aim of this paper is to study the Bayes estimation of the parameter of the generalized Parato distribution based on the parameter prior, which is Quasi prior distribution. Under three loss functions, squared error loss, LINEX loss and entropy loss function, Bayes estimators are obtained, and the Monte Carlo simulation experiment is used to observe the performance of various Bayes estimators obtained in this paper.
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- Bayes Reliability Analysis of Parameters of Generalized Pareto Distribution under Different Loss Functions
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Published In
July 2019
112 pages
ISBN:9781450371681
DOI:10.1145/3343485
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- Universidade Nova de Lisboa
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Published: 08 July 2019
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ICoMS'19
ICoMS'19: 2019 2nd International Conference on Mathematics and Statistics
July 8 - 10, 2019
Prague, Czech Republic
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