A double generalized Pareto distribution

Saralees Nadarajah, Emmanuel Afuecheta and Stephen Chan

Statistics & Probability Letters, 2013, vol. 83, issue 12, 2656-2663

Abstract: 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.

Keywords: Degree of freedom; Generalized Pareto distribution; Student’s t distribution (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.spl.2013.09.001

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