Generalized Pareto Distribution - shape parameter estimation problem

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Luca
Luca il 8 Giu 2012
Commentato: dsmalenb il 16 Lug 2018
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
dsmalenb il 16 Lug 2018
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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