Generalized Pareto Distribution - shape parameter estimation problem
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Someone of you has noticed any problem with the shape parameter estimation for the Generalized Pareto Distribution? In particular when this latter is negative. I used the GPDFIT function to fit the Generalized Pareto Distribution on financial asset returns over a threshold but I found that when the shape parameter is negative enough, some values from the observations don't stay in the support of the distribution. Any idea?
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dsmalenb
2018-7-16
I am running into similar issues. I have an active question here:
https://www.mathworks.com/matlabcentral/answers/410467-inconsistent-results-w-fitdist-for-generalized-pareto
Take a look.
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