Displaying similar documents to “Improved inference for the generalized Pareto distribution under linear, power and exponential normalization”

Asymptotic behaviour of the probability-weighted moments and penultimate approximation

Jean Diebolt, Armelle Guillou, Rym Worms (2010)

ESAIM: Probability and Statistics

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The P.O.T. (Peaks-Over-Threshold) approach consists of using the Generalized Pareto Distribution (GPD) to approximate the distribution of excesses over a threshold. We use the probability-weighted moments to estimate the parameters of the approximating distribution. We study the asymptotic behaviour of these estimators (in particular their asymptotic bias) and also the functional bias of the GPD as an estimate of the distribution function of the excesses. We adapt penultimate approximation...

On the outstanding elements and record values in the exponential and gamma populations.

G. S. Lingappaiah (1981)

Trabajos de Estadística e Investigación Operativa

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Outstanding elements and recorded values are discussed in this paper as related to exponential and gamma populations. First, the problem of prediction is considered when there are available, k sets of independent observations from a general-type exponential distribution. In such a case, prediction of the n-th record value in the k-th set is made in terms of n-th (i = 1, ..., k-1) record values from other (k-1) sets. For this purpose a predictive distribution is obtained. Secondly, the...

A weighted version of Gamma distribution

Kanchan Jain, Neetu Singla, Rameshwar D. Gupta (2014)

Discussiones Mathematicae Probability and Statistics

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Weighted Gamma (WG), a weighted version of Gamma distribution, is introduced. The hazard function is increasing or upside-down bathtub depending upon the values of the parameters. This distribution can be obtained as a hidden upper truncation model. The expressions for the moment generating function and the moments are given. The non-linear equations for finding maximum likelihood estimators (MLEs) of parameters are provided and MLEs have been computed through simulations and also for...

Compound geometric and Poisson models

Nooshin Hakamipour, Sadegh Rezaei, Saralees Nadarajah (2015)

Kybernetika

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Many lifetime distributions are motivated only by mathematical interest. Here, eight new families of distributions are introduced. These distributions are motivated as models for the stress of a system consisting of components working in parallel/series and each component has a fixed number of sub-components working in parallel/series. Mathematical properties and estimation procedures are derived for one of the families of distributions. A real data application shows superior performance...