Exponentiated generalized Pareto distribution: Properties and applications towards extreme value theory. Issue 8 (18th April 2019)

• Record Type: Journal Article
• Authors: Lee, Seyoon; Kim, Joseph H. T.
• Is Part Of: Communications in statistics. Volume 48:Issue 8(2019)
• Page Start: 2014
• Page End: 2038
• Publication Date: 2019-04-18
• Subjects: Exponentiated generalized Pareto distribution -- Extreme value theory -- Generalized Pareto Distribution (GPD) -- Hill plot -- Variable transformation.; 62H10; Mathematical statistics -- Periodicals; Mathematics; Statistics; 519.2
• DOI: 10.1080/03610926.2018.1441418
• Languages: English
• ISSNs: 0361-0926

Abstract

ABSTRACT: The GPD is a central distribution in modelling heavy tails in many applications. Applying the GPD to actual datasets however is not trivial. In this paper we propose the Exponentiated GPD (exGPD), created via log-transform of the GPD variable, which has less sample variability. Various distributional quantities of the exGPD are derived analytically. As an application we also propose a new plot based on the exGPD as an alternative to the Hill plot to identify the tail index of heavy tailed datasets, and carry out simulation studies to compare the two.