Earthquake Recurrence Model Based on the Generalized Pareto Distribution for Unequal Observation Periods and Imprecise Magnitudes

2021 ◽  
Author(s):  
Anne Dutfoy
Keyword(s):  
Pareto Distribution ◽  
Generalized Pareto Distribution ◽  
Earthquake Recurrence ◽  
Model Based ◽  
Generalized Pareto ◽  
Recurrence Model

Inference on P(Y

2020 ◽  
Vol 72 (2) ◽  
pp. 89-110
Author(s):  
Manoj Chacko ◽  
Shiny Mathew
Keyword(s):  
Maximum Likelihood ◽  
Pareto Distribution ◽  
Generalized Pareto Distribution ◽  
Maximum Likelihood Estimators ◽  
Record Values ◽  
Asymptotic Distributions ◽  
Bayes Estimators ◽  
Generalized Pareto ◽  
Pareto Distributions ◽  
Generalized Pareto Distributions

In this article, the estimation of [Formula: see text] is considered when [Formula: see text] and [Formula: see text] are two independent generalized Pareto distributions. The maximum likelihood estimators and Bayes estimators of [Formula: see text] are obtained based on record values. The Asymptotic distributions are also obtained together with the corresponding confidence interval of [Formula: see text]. AMS 2000 subject classification: 90B25

scholarly journals The Gamma Generalized Pareto Distribution with Applications in Survival Analysis

2017 ◽  
Vol 6 (3) ◽  
pp. 141 ◽  
Author(s):  
Thiago A. N. De Andrade ◽  
Luz Milena Zea Fernandez ◽  
Frank Gomes-Silva ◽  
Gauss M. Cordeiro
Keyword(s):  
Monte Carlo Simulation ◽  
Pareto Distribution ◽  
Generalized Pareto Distribution ◽  
Real Data ◽  
Model Parameters ◽  
Monte Carlo Simulation Study ◽  
Lorenz Curves ◽  
Generalized Pareto ◽  
Mathematical Properties ◽  
Pareto Model

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\'enyi entropy 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.

scholarly journals A multiple threshold method for fitting the generalized Pareto distribution and a simple representation of the rainfall process

2010 ◽  
Vol 7 (4) ◽  
pp. 4957-4994 ◽  
Author(s):  
R. Deidda
Keyword(s):  
Time Series ◽  
Distribution Function ◽  
Pareto Distribution ◽  
Generalized Pareto Distribution ◽  
Daily Rainfall ◽  
Rainfall Time Series ◽  
Threshold Method ◽  
Generalized Pareto ◽  
Multiple Threshold ◽  
Optimum Threshold

Abstract. Previous studies indicate the generalized Pareto distribution (GPD) as a suitable distribution function to reliably describe the exceedances of daily rainfall records above a proper optimum threshold, which should be selected as small as possible to retain the largest sample while assuring an acceptable fitting. Such an optimum threshold may differ from site to site, affecting consequently not only the GPD scale parameter, but also the probability of threshold exceedance. Thus a first objective of this paper is to derive some expressions to parameterize a simple threshold-invariant three-parameter distribution function which is able to describe zero and non zero values of rainfall time series by assuring a perfect overlapping with the GPD fitted on the exceedances of any threshold larger than the optimum one. Since the proposed distribution does not depend on the local thresholds adopted for fitting the GPD, it will only reflect the on-site climatic signature and thus appears particularly suitable for hydrological applications and regional analyses. A second objective is to develop and test the Multiple Threshold Method (MTM) to infer the parameters of interest on the exceedances of a wide range of thresholds using again the concept of parameters threshold-invariance. We show the ability of the MTM in fitting historical daily rainfall time series recorded with different resolutions. Finally, we prove the supremacy of the MTM fit against the standard single threshold fit, often adopted for partial duration series, by evaluating and comparing the performances on Monte Carlo samples drawn by GPDs with different shape and scale parameters and different discretizations.

Sign in / Sign up

Export Citation Format

Share Document