Generalized　Pareto　distribution　(GPD)　is　widely　used　to　model　exceedances　over　thresholds.　In　this　paper,　we　propose　a　new　method,　called　weighted　non　linear　least　squares　(WNLS),　to　estimate　the　parameters　of　the　three-parameter　GPD.　Some　asymptotic　results　of　the　proposed　method　are　provided.　An　extensive　simulation　is　carried　out　to　evaluate　the　finite　sample　behaviour　of　the　proposed　method　and　to　compare　the　behaviour　with　other　methods　suggested　in　the　literature.　The　simulation　results　show　that　WNLS　outperforms　other　methods　in　general　situations.　Finally,　the　WNLS　is　applied　to　analysis　the　real-life　data.