A double generalized Pareto distribution

DOI10.1016/j.spl.2013.09.001zbMath1286.60012OpenAlexW2053142596MaRDI QIDQ2439636

Stephen Chan, Emmanuel Afuecheta, Saralees Nadarajah

Publication date: 14 March 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.09.001

zbMATH Keywords

generalized Pareto distributiondegree of freedomStudent's \(t\) distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05)

Related Items (3)

On order statistics from Laplace-type distributions ⋮ Maximum likelihood estimation of asymmetric double type II Pareto distributions ⋮ Multiple permutation test for high-dimensional data: a components-combined algorithm

Uses Software

• R
• POT
• evir
• gPdtest
• ismev
• QRM
• texmex
• fExtremes
• smoothtail
• spd
• nsRFA

Cites Work

• On a multivariate Pareto distribution
• A bootstrap goodness of fit test for the generalized Pareto distribution
• Statistical inference using extreme order statistics
• A generalised student's \(t\)-distribution
• Bayesian graphical Lasso models and efficient posterior computation
• Multivariate T-Distributions and Their Applications
• Generalized double Pareto shrinkage
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