Table 3 Results from fitting the GPD model
Estimate | MLE | PWM | ||
|---|---|---|---|---|
Right tail | Left tail | Right tail | Left tail | |
\( u = 0.8 \) | \( u = 0.15 \) | \( u = 0.8 \) | \( u = 0.15 \) | |
Shape parameter \( (\hat{\xi }) \) | 0.6339 | 0.4455 | 0.6147 | 0.43 |
Conf. interval (lower, upper) | (0.3968, 0.8702) | (0.2777, 0.6133) | (0.2871, 0.7994) | (0.2647, 0.6021) |
Std. error | 0.12097 | 0.0856 | – | 0.12064 |
Scale parameter \( (\hat{\sigma }) \) | 0.4142 | 0.4329 | 0.4153 | 0.4348 |
Conf. interval (lower, upper) | (0.3048, 0.5237) | (0.3482, 0.5177) | (0.3139, 0.5622) | (0.3492, 0.5201) |
Std. error | 0.05584 | 0.04323 | 0.1306 | 0.04863 |