Threshold Estimation of Generalized Pareto Distribution Based on Akaike Information Criterion for Accurate Reliability Analysis

2015 ◽  
Vol 39 (2) ◽  
pp. 163-168
Author(s):  
Seunghoon Kang ◽  
Woochul Lim ◽  
Su-Gil Cho ◽  
Sanghyun Park ◽  
Minuk Lee ◽  
...  
2022 ◽  
Vol 85 ◽  
pp. 193-204
Author(s):  
N Shahraki ◽  
S Marofi ◽  
S Ghazanfari

Prediction of the occurrence or non-occurrence of daily rainfall plays a significant role in agricultural planning and water resource management projects. In this study, gamma distribution function (GDF), kernel, and exponential (EXP) distributions were coupled (piecewise) with a generalized Pareto distribution. Thus, the gamma-generalized Pareto (GGP), kernel-generalized Pareto (KGP), and exponential-generalized Pareto (EGP) models were used. The aim of the present study was to introduce new methods to modify the simulated generation of extreme rainfall amounts of rainy seasons based on the preserved spatial correlation. The best approach was identified using the normalized root mean square error (NRMSE) criterion. For this purpose, the 30-yr daily rainfall datasets of 21 synoptic weather stations located in different climates of West Iran were analyzed. The first, second, and third-order Markov chain (MC) models were used to describe rainfall time series frequencies. The best MC model order was detected using the Akaike information criterion and Bayesian information criterion. Based on the best identified MC model order, the best piecewise distribution models, and the Wilks approach, rainfall events were modeled with regard to the spatial correlation among the study stations. The performance of the Wilks approach was verified using the coefficient of determination. The daily rainfall simulation resulted in a good agreement between the observed and the generated rainfall data. Hence, the proposed approach is capable of helping water resource managers in different contexts of agricultural planning.


2020 ◽  
Vol 72 (2) ◽  
pp. 89-110
Author(s):  
Manoj Chacko ◽  
Shiny Mathew

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


2017 ◽  
Vol 6 (3) ◽  
pp. 141 ◽  
Author(s):  
Thiago A. N. De Andrade ◽  
Luz Milena Zea Fernandez ◽  
Frank Gomes-Silva ◽  
Gauss M. Cordeiro

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.


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