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A double generalized Pareto distribution

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  • Nadarajah, Saralees
  • Afuecheta, Emmanuel
  • Chan, Stephen

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.

Suggested Citation

  • Nadarajah, Saralees & Afuecheta, Emmanuel & Chan, Stephen, 2013. "A double generalized Pareto distribution," Statistics & Probability Letters, Elsevier, vol. 83(12), pages 2656-2663.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:12:p:2656-2663
    DOI: 10.1016/j.spl.2013.09.001
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    References listed on IDEAS

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    1. Asimit, Alexandru V. & Furman, Edward & Vernic, Raluca, 2010. "On a multivariate Pareto distribution," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 308-316, April.
    2. Kotz,Samuel & Nadarajah,Saralees, 2004. "Multivariate T-Distributions and Their Applications," Cambridge Books, Cambridge University Press, number 9780521826549, October.
    3. Papastathopoulos, Ioannis & Tawn, Jonathan A., 2013. "A generalised Student’s t-distribution," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 70-77.
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    Cited by:

    1. Aly, Emad-Eldin A.A., 2020. "On order statistics from Laplace-type distributions," Statistics & Probability Letters, Elsevier, vol. 160(C).
    2. Liu, Wei & Semeyutin, Artur & Lau, Chi Keung Marco & Gozgor, Giray, 2020. "Forecasting Value-at-Risk of Cryptocurrencies with RiskMetrics type models," Research in International Business and Finance, Elsevier, vol. 54(C).
    3. Halvarsson, Daniel, 2019. "Asymmetric Double Pareto Distributions: Maximum Likelihood Estimation with Application to the Growth Rate Distribution of Firms," Ratio Working Papers 327, The Ratio Institute.
    4. Mai F. Alfahad & Mohamed E. Ghitany & Ahmad N. Alothman & Saralees Nadarajah, 2023. "A Bimodal Extension of the Log-Normal Distribution on the Real Line with an Application to DNA Microarray Data," Mathematics, MDPI, vol. 11(15), pages 1-17, July.

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