The Properties of Inverse Pareto Distribution and its Application to Extreme Events

被引：0
|
作者：
Dankunpraser, Sukanda [1 ]
Jaroengeratikun, Uraiwan [2 ]
Talangtam, Tosaporn [1 ]
机构：
[1] Khon Kaen Univ, Fac Sci, Khon Kaen, Thailand
[2] King Mongkuts Univ Technol North Bangkok, Fac Appl Sci, Bangkok, Thailand
来源：
THAILAND STATISTICIAN | 2021年 / 19卷 / 01期
关键词：
Danish fire data; generalized Pareto distribution; heavy tailed distribution; infinite mixture distribution; peak over threshold;
D O I：
暂无
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：
In this paper we present some properties of the inverse Pareto distribution (IPD). We compare IPD to gamma distribution, exponential distribution and generalized Pareto distribution (GPD). The data sets over threshold u are analyzed and obtained by the Monte Carlo simulation and the use of Danish fire data. The maximum likelihood estimation (MLE) is the parameter estimation. The various measurements of model fitting are the Kolmogorov-Smirnov test (KS test), the Anderson-Darling test (AD test), Akaike information criterion (AIC) and Bayesian information criterion (BIC). We found that the IPD is a good competitor with GPD for the modeling of extreme events.
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页码：1 / +
页数：13
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