9.4.3 PARAMETER ESTIMATION FOR THE G-AND-H SEVERITY IN OPRISK

There have been many proposed methods for performing parameter estimation in the g-and-h family of distributions. In this section, we survey a few of the possibilities. Dutta and Babbel (2002) suggest a method of parameter estimation for constant g and h parameters based on percentile matching. This involves recognizing the relationships between data percentiles and the g-and-h parameters given in Proposition 9.6.

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