Bayesian estimation of the shape parameter of a generalized pareto distribution under asymmetric loss functions

Himanshu Pandey; Arun Kumar Rao

Bayesian estimation of the shape parameter of a generalized pareto distribution under asymmetric loss functions

Himanshu Pandey, Arun Kumar Rao

Research output: Contribution to journal › Article › peer-review

15 Scopus citations

Abstract

In this paper Bayes estimators of the shape parameter of the generalized Pareto distribution have been obtained by taking quasi, inverted gamma and uniform prior distributions using the linex, precautionary and entropy loss functions. These are compared with the corresponding Bayes estimators under the squared error loss function.

Original language	English
Pages (from-to)	69-83
Number of pages	15
Journal	Hacettepe Journal of Mathematics and Statistics
Volume	38
Issue number	1
State	Published - 1 Jan 2009
Externally published	Yes

Keywords

Asymmetric loss function
Pareto distribution
Shape parameter

ASJC Scopus subject areas

Analysis
Algebra and Number Theory
Statistics and Probability
Geometry and Topology

Cite this

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Bayesian estimation of the shape parameter of a generalized pareto distribution under asymmetric loss functions

Abstract

Keywords

ASJC Scopus subject areas

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