Generalized Pareto (GP) Distribution
Importance of Generalized Logistic Distribution in Extreme Value Modeling
... adequate distribution of modeling extremal behavior of stock market ...data. Generalized extreme value (GEV) distribution and generalized Pareto (GP) distribution are the ...
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Estimation of Generalized Pareto under an Adaptive Type II Progressive Censoring
... the generalized Pareto (GP) distribution using adaptive Type-II progres- sive censoring ...the generalized Pareto (GP) distri- ...
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Optimal Threshold Determination for Securities Exchange Volumes Using Improved Maximum Product of Spacing Methodology
... The Generalized Pareto Distribution (GPD) parameters for the optimal threshold were derived and compared to GPD parameters deter- mined through the standard MPS ...lized Pareto ...
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Large cap versus small cap, a downside risk comparison
... a Generalized Pareto Distribution to evaluate downside risk of large-cap companies, approach through S&P 500 Index, and small- cap companies, approach through Russell 2000 ...
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Robust Continuous Quadratic Distance Estimation Using Quantiles for Fitting Continuous Distributions
... the Generalized Pareto distribution (GPD) and draw the attention on the properties of the model quantile function which appears to have nicer properties than the density function and hence mo- tivate ...
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Measuring the Intraday Jump Tail Risk of Financial Asset Price with Noisy High Frequency Data
... of distribution and to forecast ...the generalized extreme value dis- tribution (GEV), while the second is known as the peaks-over-threshold (POT) approach based on the generalized Pareto ...
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Peaks over thresholds modelling with multivariate generalized Pareto distributions
... the generalized Pareto (GP) distribution is extensively used in hydrology to quantify risks of extreme floods, rainfalls and waves (Katz et ...
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A multiple threshold method for fitting the generalized Pareto distribution to rainfall time series
... the distribution of very small values may not be clearly def- inite and may depart from the distribution of the bulk of higher records for several reasons, including: (i) small val- ues may be due to dew ...
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II. GENERALIZED EXPONENTIAL DISTRIBUTION AND STRESS
... Weibull distribution (Kundu et al., 2006), Gompertz distribution (Saraçoglu et ...exponential distribution (Jiang et al., 2008), the generalized gamma distribution (Pham et ...the ...
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The utilization of copula in hidrology
... the generalized Pareto cumulative distribution functions of the marginals and the parameter θ of the connecting copula for the water maximum discharges and water volumes are ...
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Parameter Estimations for Generalized RayleighDistribution under Progressively Type I IntervalCensored Data
... the generalized Rayleigh distribution are investigated for progressively type-I interval censored ...of distribution parameters via maximum like- lihood, moment method and probability plot are ...
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Creating new distributions by blunting cusps
... Distributions with cusps exemplify George Box’s famous comment that ‘essentially, all models are wrong, but some are useful’ (Box and Draper, 1987). We surely do not believe that, if we had sufficient data, we would see ...
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A generalized logistic distribution
... The standard logistic distribution given by (1.2) has important uses in describing growth and as a substitute for the normal distribution. It has also attracted interesting applica- tions in the modeling of ...
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An estimation of size biased generalized logarithmic series distribution
... An attempt was made to fit the SBGLSD to observed data estimating the parameter α and β by suggested alternative method. To know how much good or bad the fits are due to this method of moments, we have used the data set ...
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Flexible distribution modeling with the generalized lambda distribution
... A divergence measure is used to evaluate how closely the estimator can fit the distribution. This is in contrast to the traditional mean absolute deviation and mean absolute error of the parameter estimates, which ...
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Limit theorems for randomly selected adjacent order statistics from a Pareto distribution
... In Adler [1], just one order statistic from the Pareto was observed, while in Adler [2], ratios of order statistics were examined. Here we look at the case of randomly selecting one of these adjacent ratios. As ...
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Statistical Inference for a New Class of Multivariate Pareto Distributions
... Pearson’s correlation-based MM method, only. This is not surprising, bearing in mind the expression for the conditional expectation, derived in Corollary 3.1 of Asimit et al. (2010), i.e., the linear correlation is not a ...
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Classes of Ordinary Differential Equations Obtained for the Probability Functions of Exponentiated Pareto Distribution
... The ODEs of all the probability functions considered can be obtained for the particular values of the distribution. Several analytic, semi-analytic and numerical methods can be applied to obtain the solutions of ...
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Moments of the generalized hyperbolic distribution
... momChangeAbout to calculate moments of any order about any location for the GH distribution. The procedure described above can be compared to the results given in Section 3 of Barndorff- Nielsen and Stelzer ...
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Pareto Distribution of Wealth Based on Overlapping Generation Model
... frequency distribution depending on different utility functions al- though all functions are based on the Cobb-Douglas ...wealth distribution among agents close to the Pareto distribu- ...
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