Results 11 to 20 of about 5,202,137 (253)

Discrete New Generalized Pareto Distribution

Statistica
In this paper we propose a discrete analogue of New Generalized Pareto distribution as a new discrete model using general approach of discretization of continuous distribution. The structural properties of the new distribution are discussed.
Kuttan Pillai Jayakumar, Jiji Jose
doaj   +2 more sources

On Alpha Power Transformation Generalized Pareto Distribution and Some Properties

Journal of Applied Mathematics
Recently, the need to develop statistical distributions has become the most important spot. In this context, we employ the α-power transformation (APT) method to convert the generalized Pareto distribution (GPD) into a new distribution.
Salma Omar Bleed, Rasha Abd-Elwahab Attwa, Rabeea Farag Meftah Ali, Taha Radwan   +3 more
doaj   +2 more sources

Order-statistics-based inferences for censored lifetime data and financial risk analysis [PDF]

, 2013
This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.This thesis focuses on applying order-statistics-based inferences on lifetime analysis and financial risk measurement.
Sheng, Zhuo
core   +7 more sources

Value at Risk with Performing Exponential Generalized Autoregressive Conditional Heteroscedasticity–Generalized Pareto Distribution

Jurnal Ilmu Dasar, 2022
Stocks are an investment that many investors are interested in but often have a high risk. Value at Risk (VaR) is one tool that is often used in risk measurement.
Nadiyah Hafidah Sinambela, Di Asih I Maruddani, Arief Rachman Hakim   +2 more
doaj   +1 more source

An EM Algorithm for Double-Pareto-Lognormal Generalized Linear Model Applied to Heavy-Tailed Insurance Claims

Risks, 2017
Generalized linear models might not be appropriate when the probability of extreme events is higher than that implied by the normal distribution. Extending the method for estimating the parameters of a double Pareto lognormal distribution (DPLN) in Reed ...
Enrique Calderín-Ojeda, Kevin Fergusson, Xueyuan Wu   +2 more
doaj   +1 more source

Rarefied particle motions on hillslopes – Part 4: Philosophy [PDF]

Earth Surface Dynamics, 2021
Theoretical and experimental work (Furbish et al., 2021a, b, c) indicates that the travel distances of rarefied particle motions on rough hillslope surfaces are described by a generalized Pareto distribution.
D. J. Furbish, T. H. Doane, T. H. Doane
doaj   +1 more source

Parameter Estimation for Generalized Pareto Distribution [PDF]

, 1988
The generalized Pareto distribution was introduced by Pickands (1975). Three methods of estimating the parameters of the generalized Pareto distribution were compared by Hosking and Wallis (1987). The methods are maximum likelihood, method of moments and
Lin, Der-Chen
core   +1 more source

Robust bayesian inference of generalized Pareto distribution [PDF]

, 2017
. In this work, robust Bayesian estimation of the generalized Pareto distribution is proposed. The methodology is presented in terms of oscillation of posterior risks of the Bayesian estimators.
Necir, Abdelhakim, Mokrani, Fatiha, Fellag, Hocine   +2 more
core   +1 more source

A New Heavy Tailed Class of Distributions Which Includes the Pareto

Risks, 2019
In this paper, a new heavy-tailed distribution, the mixture Pareto-loggamma distribution, derived through an exponential transformation of the generalized Lindley distribution is introduced.
Deepesh Bhati, Enrique Calderín-Ojeda, Mareeswaran Meenakshi   +2 more
doaj   +1 more source

Reliability of Extreme Wind Speeds Predicted by Extreme-Value Analysis

Meteorology, 2023
The reliability of extreme wind speed predictions at large mean recurrence intervals (MRI) is assessed by bootstrapping samples from representative known distributions.
Nicholas John Cook
doaj   +1 more source