Shrinkage Methods for Estimating the Shape Parameter of the Generalized Pareto Distribution

<div>Estimators of <span class="nowrap"><svg height="6.1673pt" id="M108" style="vertical-align:-0.2063904pt" version="1.1" viewbox="-0.0498162 -5.96091 5.44961 6.1673" width="5.44961pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M387 375C387 402 357 448 257 448C172 448 82 404 82 326C82 289 108 255 156 241V239C85 223 23 181 23 116C23 39 89 -12 182 -12C265 -12 336 31 378 91L361 114C320 73 269 47 216 47C157 47 115 82 115 137C115 191 160 219 218 219C243 219 262 218 272 217L304 259L302 266C295 265 281 264 255 264C195 264 163 294 163 335C163 377 200 416 249 416C293 416 321 389 329 342C331 332 335 329 341 329C355 329 387 352 387 375Z"></path></g></svg>.</span> Leftmost column: <svg height="8.69875pt" id="M109" style="vertical-align:-0.3499298pt" version="1.1" viewbox="-0.0498162 -8.34882 49.7978 8.69875" width="49.7978pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g 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d="M113 -12C146 -12 170 11 170 46C170 78 146 103 114 103S58 78 58 46C58 11 82 -12 113 -12Z"></path></g><g transform="matrix(.013,0,0,-0.013,37.061,0)"><path d="M412 140C382 77 369 73 315 73H129L270 222C362 320 402 379 402 466C402 571 322 635 234 635C177 635 130 609 99 576L42 495L64 475C90 514 133 568 201 568C274 568 318 519 318 435C318 349 255 267 193 193C144 135 87 78 32 23V0H405C417 45 427 89 440 131L412 140Z"></path></g><g transform="matrix(.013,0,0,-0.013,43.301,0)"><path d="M153 550H386L412 615L406 623H120L82 318C104 327 142 338 184 338C294 338 347 275 347 187C347 112 305 39 221 39C160 39 119 71 97 89C88 97 80 96 71 90C59 80 50 67 49 57C48 45 52 36 66 23C80 9 123 -12 169 -12C221 -11 288 15 342 59C403 109 431 165 431 225C431 308 366 395 238 395C212 395 165 379 127 364L153 550Z"></path></g></svg> and rightmost column: <span class="nowrap"><svg height="8.55521pt" id="M110" style="vertical-align:-0.2063904pt" version="1.1" viewbox="-0.0498162 -8.34882 42.1382 8.55521" width="42.1382pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M387 375C387 402 357 448 257 448C172 448 82 404 82 326C82 289 108 255 156 241V239C85 223 23 181 23 116C23 39 89 -12 182 -12C265 -12 336 31 378 91L361 114C320 73 269 47 216 47C157 47 115 82 115 137C115 191 160 219 218 219C243 219 262 218 272 217L304 259L302 266C295 265 281 264 255 264C195 264 163 294 163 335C163 377 200 416 249 416C293 416 321 389 329 342C331 332 335 329 341 329C355 329 387 352 387 375Z"></path></g><g transform="matrix(.013,0,0,-0.013,8.963,0)"><path d="M535 323V373H52V323H535ZM535 138V188H52V138H535Z"></path></g><g transform="matrix(.013,0,0,-0.013,20.226,0)"><path d="M241 635C89 635 35 457 35 312C35 153 89 -12 240 -12C390 -12 443 166 443 312C443 466 390 635 241 635ZM238 602C329 602 354 454 354 312C354 172 330 22 240 22C152 22 124 173 124 313S148 602 238 602Z"></path></g><g transform="matrix(.013,0,0,-0.013,26.466,0)"><path d="M113 -12C146 -12 170 11 170 46C170 78 146 103 114 103S58 78 58 46C58 11 82 -12 113 -12Z"></path></g><g transform="matrix(.013,0,0,-0.013,29.43,0)"><path d="M412 140C382 77 369 73 315 73H129L270 222C362 320 402 379 402 466C402 571 322 635 234 635C177 635 130 609 99 576L42 495L64 475C90 514 133 568 201 568C274 568 318 519 318 435C318 349 255 267 193 193C144 135 87 78 32 23V0H405C417 45 427 89 440 131L412 140Z"></path></g><g transform="matrix(.013,0,0,-0.013,35.67,0)"><path d="M153 550H386L412 615L406 623H120L82 318C104 327 142 338 184 338C294 338 347 275 347 187C347 112 305 39 221 39C160 39 119 71 97 89C88 97 80 96 71 90C59 80 50 67 49 57C48 45 52 36 66 23C80 9 123 -12 169 -12C221 -11 288 15 342 59C403 109 431 165 431 225C431 308 366 395 238 395C212 395 165 379 127 364L153 550Z"></path></g></svg>.</span> Topmost row: <svg height="8.55521pt" id="M111" style="vertical-align:-0.2063904pt" version="1.1" viewbox="-0.0498162 -8.34882 40.3636 8.55521" width="40.3636pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M495 86L479 114C446 82 419 66 409 66C401 66 401 72 406 97C420 166 436 231 453 297C489 435 454 448 428 448C406 448 384 439 354 422C305 394 222 327 161 247H159L183 345C200 415 194 448 173 448C143 448 82 410 23 351L38 325C64 349 95 371 105 371C111 371 116 365 109 336L25 -4L31 -12C50 -4 77 3 107 9C119 69 132 122 145 168C197 254 321 381 370 381C387 381 393 374 378 305L329 95C309 17 320 -12 345 -12C372 -12 430 19 495 86Z"></path></g><g transform="matrix(.013,0,0,-0.013,10.158,0)"><path d="M535 323V373H52V323H535ZM535 138V188H52V138H535Z"></path></g><g transform="matrix(.013,0,0,-0.013,21.421,0)"><path d="M412 140C382 77 369 73 315 73H129L270 222C362 320 402 379 402 466C402 571 322 635 234 635C177 635 130 609 99 576L42 495L64 475C90 514 133 568 201 568C274 568 318 519 318 435C318 349 255 267 193 193C144 135 87 78 32 23V0H405C417 45 427 89 440 131L412 140Z"></path></g><g transform="matrix(.013,0,0,-0.013,27.661,0)"><path d="M241 635C89 635 35 457 35 312C35 153 89 -12 240 -12C390 -12 443 166 443 312C443 466 390 635 241 635ZM238 602C329 602 354 454 354 312C354 172 330 22 240 22C152 22 124 173 124 313S148 602 238 602Z"></path></g><g transform="matrix(.013,0,0,-0.013,33.901,0)"><path d="M241 635C89 635 35 457 35 312C35 153 89 -12 240 -12C390 -12 443 166 443 312C443 466 390 635 241 635ZM238 602C329 602 354 454 354 312C354 172 330 22 240 22C152 22 124 173 124 313S148 602 238 602Z"></path></g></svg> and bottommost row: <svg height="8.55521pt" id="M112" style="vertical-align:-0.2063904pt" version="1.1" viewbox="-0.0498162 -8.34882 49.6021 8.55521" width="49.6021pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M495 86L479 114C446 82 419 66 409 66C401 66 401 72 406 97C420 166 436 231 453 297C489 435 454 448 428 448C406 448 384 439 354 422C305 394 222 327 161 247H159L183 345C200 415 194 448 173 448C143 448 82 410 23 351L38 325C64 349 95 371 105 371C111 371 116 365 109 336L25 -4L31 -12C50 -4 77 3 107 9C119 69 132 122 145 168C197 254 321 381 370 381C387 381 393 374 378 305L329 95C309 17 320 -12 345 -12C372 -12 430 19 495 86Z"></path></g><g transform="matrix(.013,0,0,-0.013,10.158,0)"><path d="M535 323V373H52V323H535ZM535 138V188H52V138H535Z"></path></g><g transform="matrix(.013,0,0,-0.013,21.421,0)"><path d="M384 0V27C293 34 287 42 287 114V635C232 613 172 594 109 583V559L157 557C201 555 205 550 205 499V114C205 42 199 34 109 27V0H384Z"></path></g><g transform="matrix(.013,0,0,-0.013,27.661,0)"><path d="M241 635C89 635 35 457 35 312C35 153 89 -12 240 -12C390 -12 443 166 443 312C443 466 390 635 241 635ZM238 602C329 602 354 454 354 312C354 172 330 22 240 22C152 22 124 173 124 313S148 602 238 602Z"></path></g><g transform="matrix(.013,0,0,-0.013,33.901,0)"><path d="M241 635C89 635 35 457 35 312C35 153 89 -12 240 -12C390 -12 443 166 443 312C443 466 390 635 241 635ZM238 602C329 602 354 454 354 312C354 172 330 22 240 22C152 22 124 173 124 313S148 602 238 602Z"></path></g><g transform="matrix(.013,0,0,-0.013,40.141,0)"><path d="M241 635C89 635 35 457 35 312C35 153 89 -12 240 -12C390 -12 443 166 443 312C443 466 390 635 241 635ZM238 602C329 602 354 454 354 312C354 172 330 22 240 22C152 22 124 173 124 313S148 602 238 602Z"></path></g><g transform="matrix(.013,0,0,-0.013,46.381,0)"><path d="M113 -12C146 -12 170 11 170 46C170 78 146 103 114 103S58 78 58 46C58 11 82 -12 113 -12Z"></path></g></svg> The solid line is the exact value of <span class="nowrap"><svg height="6.1673pt" id="M113" style="vertical-align:-0.2063904pt" version="1.1" viewbox="-0.0498162 -5.96091 5.44961 6.1673" width="5.44961pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M387 375C387 402 357 448 257 448C172 448 82 404 82 326C82 289 108 255 156 241V239C85 223 23 181 23 116C23 39 89 -12 182 -12C265 -12 336 31 378 91L361 114C320 73 269 47 216 47C157 47 115 82 115 137C115 191 160 219 218 219C243 219 262 218 272 217L304 259L302 266C295 265 281 264 255 264C195 264 163 294 163 335C163 377 200 416 249 416C293 416 321 389 329 342C331 332 335 329 341 329C355 329 387 352 387 375Z"></path></g></svg>.</span></div>

Journal of Applied Mathematics

fig1

Figure 1

Figure 1: Shrinkage Methods for Estimating the Shape Parameter of the Generalized Pareto Distribution 