A double generalized Pareto distribution

Saralees Nadarajah; Emmanuel Afuecheta; Stephen Chan

doi:10.1016/j.spl.2013.09.001

A double generalized Pareto distribution

Saralees Nadarajah^*
, Emmanuel Afuecheta
, Stephen Chan

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

7 Scopus citations

Abstract

Papastathopoulos and Tawn [Papastathopoulos, I., Tawn, J.A., 2013. A generalized Student's t-distribution. Statistics & Probability Letters 83, 70-77] proposed a generalization of Student's t distribution to account for negative degrees of freedom. Here, an alternative distribution that has simpler mathematical properties is discussed. Several advantages are established for using the alternative distribution over Papastathopoulos and Tawn's generalization.

Original language	English
Pages (from-to)	2656-2663
Number of pages	8
Journal	Statistics and Probability Letters
Volume	83
Issue number	12
DOIs	https://doi.org/10.1016/j.spl.2013.09.001
State	Published - Dec 2013
Externally published	Yes

Keywords

Degree of freedom
Generalized Pareto distribution
Student's t distribution

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

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10.1016/j.spl.2013.09.001

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title = "A double generalized Pareto distribution",

abstract = "Papastathopoulos and Tawn [Papastathopoulos, I., Tawn, J.A., 2013. A generalized Student's t-distribution. Statistics \& Probability Letters 83, 70-77] proposed a generalization of Student's t distribution to account for negative degrees of freedom. Here, an alternative distribution that has simpler mathematical properties is discussed. Several advantages are established for using the alternative distribution over Papastathopoulos and Tawn's generalization.",

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author = "Saralees Nadarajah and Emmanuel Afuecheta and Stephen Chan",

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AU - Chan, Stephen

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AB - Papastathopoulos and Tawn [Papastathopoulos, I., Tawn, J.A., 2013. A generalized Student's t-distribution. Statistics & Probability Letters 83, 70-77] proposed a generalization of Student's t distribution to account for negative degrees of freedom. Here, an alternative distribution that has simpler mathematical properties is discussed. Several advantages are established for using the alternative distribution over Papastathopoulos and Tawn's generalization.

KW - Degree of freedom

KW - Generalized Pareto distribution

KW - Student's t distribution

UR - https://www.scopus.com/pages/publications/84884393909

U2 - 10.1016/j.spl.2013.09.001

DO - 10.1016/j.spl.2013.09.001

M3 - Article

AN - SCOPUS:84884393909

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SP - 2656

EP - 2663

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

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ER -

A double generalized Pareto distribution

Abstract

Keywords

ASJC Scopus subject areas

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