The Choice of GPD Estimation and Risk Measure in POT Model
Gui Wen-lin, Zongyi Wang · Shuxue de shijian yu renshi · 2010
ML、MOM and PWM are main methods to estimate parameters of GPD.In paper we generate many data obeying GPD by MC simulating technology and estimate its parameters by them.Through BIAS and RMSE,We judge the goodness of methods and research the difference with its numbers and shape parameters changed and get criterion to select method.