The Kumaraswamy GP Distribution

10.6339/JDS.2013.11(4).1189

Saralees Nadarajah；Sumaya Eljabri

Beta distribution ； GP distribution ； Kumaraswamy distribution ； maximum likelihood ； order statistics

Journal of Data Science

11卷4期（2013 / 10 / 01）

739 - 766

英文

The generalized Pareto (GP) distribution is the most popular model for extreme values. Recently, Papastathopoulos and Tawn [”Journal of Statistical Planning and Inference” 143 (2013), 131-143] have proposed some generalizations of the GP distribution for improved modeling. Here, we point that Papastathopoulos and Tawn's generalizations are in fact not new and then go on to propose a tractable generalization of the GP distribution. For the latter generalization, we provide a comprehensive treatment of mathematical properties, estimate parameters by the method of maximum likelihood and provide the observed information matrix. The proposed model is shown to give a better fit for the real data set used in Papastathopoulos and Tawn.