The gamma generalized pareto distribution with applications in survival analysis
We study a three-parameter model named the gamma generalized Pareto distribution. This distribution extends the generalized Pareto model, which has many applications in areas such as insurance, reliability, finance and many others. We derive some of its characterizations and mathematical properties...
| Autores: | , , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2017 |
| País: | Brasil |
| Institución: | Universidade Federal do Rio Grande do Norte (UFRN) |
| Repositorio: | Repositório Institucional da UFRN |
| Idioma: | portugués |
| OAI Identifier: | oai:repositorio.ufrn.br:123456789/49660 |
| Acceso en línea: | https://repositorio.ufrn.br/handle/123456789/49660 |
| Access Level: | acceso abierto |
| Palabra clave: | Generalized pareto distribution Hazard rate function Survival function |
| Sumario: | We study a three-parameter model named the gamma generalized Pareto distribution. This distribution extends the generalized Pareto model, which has many applications in areas such as insurance, reliability, finance and many others. We derive some of its characterizations and mathematical properties including explicit expressions for the density and quantile functions, ordinary and incomplete moments, mean deviations, Bonferroni and Lorenz curves, generating function, R´enyientropy and order statistics. We discuss the estimation of the model parameters by maximum likelihood. A small Monte Carlo simulation study and two applications to real data are presented. We hope that this distribution may be useful for modeling survival and reliability data. |
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