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On the Properties of the New Generalized Pareto Distribution and Its Applications

Author

Listed:
  • Najma Salahuddin
  • Alamgir Khalil
  • Wali Khan Mashwani
  • Sharifah Alrajhi
  • Sanaa Al-Marzouki
  • Kamal Shah

Abstract

In this paper, a new generalization of the Generalized Pareto distribution is proposed using the generator suggested in [1], named as Khalil Extended Generalized Pareto (KEGP) distribution. Various shapes of the suggested model and important mathematical properties are investigated that includes moments, quantile function, moment-generating function, measures of entropy, and order statistics. Parametric estimation of the model is discussed using the technique of maximum likelihood. A simulation study is performed for the assessment of the maximum likelihood estimates in terms of their bias and mean squared error using simulated sample estimates. The practical applications are illustrated via two real data sets from survival and reliability theory. The suggested model provided better fits than the other considered models.

Suggested Citation

  • Najma Salahuddin & Alamgir Khalil & Wali Khan Mashwani & Sharifah Alrajhi & Sanaa Al-Marzouki & Kamal Shah, 2021. "On the Properties of the New Generalized Pareto Distribution and Its Applications," Mathematical Problems in Engineering, Hindawi, vol. 2021, pages 1-16, December.
    • Handle: RePEc:hin:jnlmpe:6855652
    DOI: 10.1155/2021/6855652
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