平方误差损失函数下广义Pareto分布参数的Bayes估计

Bayes Estimation of Parameter of Generalized Pareto Distribution under Squared Error Loss Function

本文在参数的先验分布为逆伽玛先验分布条件下研究广义Pareto分布参数的Bayes估计问题,并在平方误差损失函数下,导出了参数的Bayes估计。文末通过Monte Carlo数值模拟试验对极大似然估计和Bayes估计进行了比较。

The paper aims to study the Bayes estimation of the parameter of the generalized Parato distribution,basing on the parameter prior which is inverse Gamma prior distribution.Bayes estimators are obtained by using the squared error loss function.The author also compares the MLE estimator with the Bayes estimator through Monte Carlo simulation.