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International Journal of Mathematical, Engineering and Management Sciences

ISSN: 2455-7749 . Open Access


Optimal Designs for Generalized Pareto Model

Optimal Designs for Generalized Pareto Model

Poonam Singh
Department of Statistics, University of Delhi, Delhi, India.

Ashok Kumar
Department of Statistics, University of Lucknow, Lucknow, India.

DOI https://dx.doi.org/10.33889/IJMEMS.2019.4.5-100

Received on February 27, 2019
  ;
Accepted on June 02, 2019

Abstract

The generalized Pareto model plays an important role in modelling extreme events. Hosking and Wallis (1987) discussed the parameter and quantile estimation for generalized Pareto distribution. Optimal experimental designs are used to accurately estimate the unknown parameters of the model. In this paper, locally D-, A- and E-optimal designs with two and three support points having equal and unequal weights for homoscedastic generalized Pareto regression model are obtained numerically. It is also proved that these designs are minimally supported. The results are illustrated through Norwegian fire insurance claim data.

Keywords- Fisher information matrix, Local optimality, D-optimality, minimally supported designs, Tchebycheff system.

Citation

Singh, P., & Kumar, A. (2019). Optimal Designs for Generalized Pareto Model. International Journal of Mathematical, Engineering and Management Sciences, 4(5), 1264-1276. https://dx.doi.org/10.33889/IJMEMS.2019.4.5-100.