A double generalized Pareto distribution

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.

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Year of publication:	2013
Authors:	Nadarajah, Saralees ; Afuecheta, Emmanuel ; Chan, Stephen
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 12, p. 2656-2663
Publisher:	Elsevier
Subject:	Degree of freedom \| Generalized Pareto distribution \| Student’s t distribution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010709053