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A double generalized Pareto distribution. (English) Zbl 1286.60012

Summary: I. Papastathopoulos and J. A. Tawn [Stat. Probab. Lett. 83, No. 1, 70–77 (2013; Zbl 1259.60019)] proposed a generalization of Student’s \(t\) distribution to account for negative degrees of freedom. Here, an alternative distribution that has simpler mathematical properties is discussed. Several advantages are established for using the alternative distribution over Papastathopoulos and Tawn’s generalization.

MSC:

60E05 Probability distributions: general theory

Citations:

Zbl 1259.60019
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References:

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