A hybrid Pareto model for asymmetric fat-tailed data: the univariate case (Q626276): Difference between revisions
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Revision as of 00:48, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A hybrid Pareto model for asymmetric fat-tailed data: the univariate case |
scientific article |
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A hybrid Pareto model for asymmetric fat-tailed data: the univariate case (English)
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22 February 2011
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The hybrid Pareto distribution (HDP) is built by stitching a generalized Pareto tail to a Gaussian distribution, while enforcing continuity of the resulting density and of its derivatives. Properties of HPDs and maximum likelihood estimates of their parameters are discussed. It is proposed to use mixtures of HDPs for nonparametric density estimation. Results of a simulation study and an application to fire insurance data are presented.
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mixture model
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heavy-tailed distributions
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density estimation
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extreme quantiles
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