Analysis of record data from generalized Pareto distribution

Mohamed T. Madi; Mohammad Z. Raqab

Analysis of record data from generalized Pareto distribution

Mohamed T. Madi
, Mohammad Z. Raqab

Research output: Contribution to journal › Article › peer-review

Abstract

In this paper, based on record data from the two-parameter generalized Pareto distribution, Bayes estimates for the two unknown parameters are obtained. under the squared error loss (SEL) and linear-exponential (LINEX) loss functions. The behavior of future records based on observing some records is also addressed. An artificial and a real data set have been analyzed for illustrative purposes.

Original language	English
Pages (from-to)	211-221
Number of pages	11
Journal	Journal of Applied Statistical Science
Volume	16
Issue number	2
Publication status	Published - 2008

Keywords

Generalized Pareto distribution
Gibbs and Metropolis sampling
Linex loss
Record statistics
Squared error loss

ASJC Scopus subject areas

Statistics and Probability

Cite this

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abstract = "In this paper, based on record data from the two-parameter generalized Pareto distribution, Bayes estimates for the two unknown parameters are obtained. under the squared error loss (SEL) and linear-exponential (LINEX) loss functions. The behavior of future records based on observing some records is also addressed. An artificial and a real data set have been analyzed for illustrative purposes.",

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AU - Madi, Mohamed T.

AU - Raqab, Mohammad Z.

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N2 - In this paper, based on record data from the two-parameter generalized Pareto distribution, Bayes estimates for the two unknown parameters are obtained. under the squared error loss (SEL) and linear-exponential (LINEX) loss functions. The behavior of future records based on observing some records is also addressed. An artificial and a real data set have been analyzed for illustrative purposes.

AB - In this paper, based on record data from the two-parameter generalized Pareto distribution, Bayes estimates for the two unknown parameters are obtained. under the squared error loss (SEL) and linear-exponential (LINEX) loss functions. The behavior of future records based on observing some records is also addressed. An artificial and a real data set have been analyzed for illustrative purposes.

KW - Generalized Pareto distribution

KW - Gibbs and Metropolis sampling

KW - Linex loss

KW - Record statistics

KW - Squared error loss

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M3 - Article

AN - SCOPUS:65249169432

SN - 1067-5817

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JO - Journal of Applied Statistical Science

JF - Journal of Applied Statistical Science

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ER -

Analysis of record data from generalized Pareto distribution

Abstract

Keywords

ASJC Scopus subject areas

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