Open AccessOn the Properties of the New Generalized Pareto Distribution and Its Applications
Author(s) -
Najma Salahuddin,
Alamgir Khalil,
Wali Khan Mashwani,
Sharifah Alrajhi,
Sanaa Al-Marzouki,
Kamal Shah
Publication year - 2021
Publication title -
mathematical problems in engineering
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.262
H-Index - 62
eISSN - 1026-7077
pISSN - 1024-123X
DOI - 10.1155/2021/6855652
Subject(s) - lomax distribution , pareto interpolation , generalized pareto distribution , mathematics , quantile , pareto principle , pareto distribution , generalization , parametric statistics , moment (physics) , quantile function , moment generating function , statistics , mathematical optimization , probability distribution , extreme value theory , mathematical analysis , physics , classical mechanics
In this paper, a new generalization of the Generalized Pareto distribution is proposed using the generator suggested in [1], named as Khalil Extended Generalized Pareto (KEGP) distribution. Various shapes of the suggested model and important mathematical properties are investigated that includes moments, quantile function, moment-generating function, measures of entropy, and order statistics. Parametric estimation of the model is discussed using the technique of maximum likelihood. A simulation study is performed for the assessment of the maximum likelihood estimates in terms of their bias and mean squared error using simulated sample estimates. The practical applications are illustrated via two real data sets from survival and reliability theory. The suggested model provided better fits than the other considered models.
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