Parameters estimation for generalized Pareto distribution

umontreal-simul / ssj

Stochastic Simulation in Java

http://umontreal-simul.github.io/ssj

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Parameters estimation for generalized Pareto distribution #12

Open wenbostar opened 7 years ago

wenbostar commented 7 years ago

Hi,

Is it possible to implement the generalized Pareto distribution described in this paper https://www.ncbi.nlm.nih.gov/pmc/articles/PMC2687965/?

Best regards! Bo

chwyean commented 7 years ago

@pierrelecuyer ? what do you think?

chwyean commented 7 years ago

@wenbostar, we do not have time to implement it ourselves, but if you are kind enough to implement it so that we can put it in SSJ, and send us a small test program, we will be pleased to do that. Of course you can put your name and coordinates in the source code.