A double generalized Pareto distribution

被引：7
|
作者：
Nadarajah, Saralees [1 ]
Afuecheta, Emmanuel [1 ]
Chan, Stephen [1 ]
机构：
[1] Univ Manchester, Sch Math, Manchester M13 9PL, Lancs, England
来源：
STATISTICS & PROBABILITY LETTERS | 2013年 / 83卷 / 12期
关键词：
Degree of freedom; Generalized Pareto distribution; Student's t distribution; MODELS;
D O I：
10.1016/j.spl.2013.09.001
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Papastathopoulos and Tawn [Papastathopoulos, I., Tawn, J.A., 2013. A generalized Student's t-distribution. Statistics & Probability Letters 83, 70-77] proposed a generalization of Student's t distribution to account for negative degrees of freedom. Here, an alternative distribution that has simpler mathematical properties is discussed. Several advantages are established for using the alternative distribution over Papastathopoulos and Tawn's generalization. (C) 2013 Elsevier B.V. All rights reserved.
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页码：2656 / 2663
页数：8
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