Generalized Pareto Distribution - shape parameter estimation problem

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Luca
Luca el 8 de Jun. de 2012
Comentada: dsmalenb el 16 de Jul. de 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 el 16 de Jul. de 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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