On the Properties of the New Generalized Pareto Distribution and Its Applications

Table 1

Average values of MLEs, MSEs, and bias.

Parameters	n					MSE ()	MSE ()	MSE ()	MSE ()	Bias ()	Bias ()	Bias ()	Bias ()
α = 2; β = 3	50	2.8224	4.379	2.3862	0.8891	9.7413	4.8344	1.7391	1.4604	0.8224	1.3790	0.3861	−0.1108
	100	3.1228	3.662	2.5394	1.3173	12.444	3.05902	2.7910	3.1806	1.1227	0.6621	0.5394	0.31731
	500	2.2947	3.561	2.1699	0.9298	1.9501	1.6631	0.4103	0.2884	0.2947	0.5608	0.1699	−0.07019
	1000	2.1720	3.567	2.0977	0.8734	0.8316	1.4808	0.1583	0.18722	0.1720	0.5671	0.0977	−0.1265
α = 3; β = 4	50	4.0408	4.0485	2.5181	1.7219	23.3680	3.5219	2.9016	4.739	1.0408	0.0485	0.5181	0.7219
	100	3.5614	4.5961	2.2183	1.4225	11.0102	4.4791	1.4747	2.3068	0.5614	0.5961	0.2183	0.4225
	500	2.7675	4.7689	1.9365	0.9259	1.7499	3.3965	0.2129	0.3039	−0.2325	0.7689	−0.0634	−0.0741
	1000	2.9827	4.6298	1.9992	0.9457	0.9594	2.628	0.1312	0.2547	−0.0173	0.6298	−0.0007	−0.0543
α = 1; β = 2	50	2.0367	2.525	5.2304	4.2390	23.9711	2.8856	12.220	17.477	1.0367	0.5254	1.2304	1.2390
	100	2.2980	2.549	5.3530	3.9130	11.1434	1.5055	12.8912	20.7428	1.2980	0.54924	1.3530	0.9130
	500	1.3429	2.372	4.2849	3.4199	1.1744	1.0608	1.0958	7.5208	0.3430	0.3724	0.2849	0.41989
	1000	1.1563	2.364	4.1010	3.0019	0.3420	0.9178	0.1650	4.0866	0.1563	0.3640	0.1010	0.0019
α = 1; β = 2	50	3.171	3.2678	3.3261	4.5144	34.1379	5.7604	10.7224	19.5879	2.1711	1.2678	1.3261	−0.4855
	100	2.545	3.0713	3.201	4.876	29.092	4.651	6.1187	25.225	1.5452	1.0713	1.2011	−0.1243
	500	2.2187	2.511	2.7985	4.8092	9.6056	1.4914	3.2420	10.3409	1.2187	0.5110	0.7985	−0.1908
	1000	1.6832	2.2812	2.457	4.791	4.4161	0.4660	1.5554	5.3746	0.6832	0.2812	0.4569	−0.2091