Exponentiated generalized Pareto distribution: Properties and applications towards extreme value theory

@article{Lee2017ExponentiatedGP,
title={Exponentiated generalized Pareto distribution: Properties and applications towards extreme value theory},
author={S. Y. Lee and J. Kim},
journal={Communications in Statistics - Theory and Methods},
year={2017},
volume={48},
pages={2014 - 2038}
}

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… CONTINUE READING