  Random variables of the generalized Pareto distribution, can be transformed
to that of the Pareto distribution. Explicit expressions exist for the maximum
likelihood estimators of the parameters of the Pareto distribution. The
performance of the estimation of the shape parameter of generalized Pareto
distributed using transformed observations, based on the probability weighted
method is tested. It was found to improve the performance of the probability
weighted estimator and performs good with respect to bias and MSE.
