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The generalized Pareto sum
Author(s) -
Nadarajah Saralees,
Kotz Samuel
Publication year - 2007
Publication title -
hydrological processes
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.222
H-Index - 161
eISSN - 1099-1085
pISSN - 0885-6087
DOI - 10.1002/hyp.6602
Subject(s) - lomax distribution , pareto principle , generalized pareto distribution , pareto distribution , mathematics , pareto interpolation , distribution (mathematics) , statistics , extreme value theory , mathematical analysis
Abstract The generalized Pareto distribution has received much popularity as models for extreme events in hydrological sciences. In this note, the important problem of the sum of two independent generalized Pareto random variables is considered. Exact analytical expressions for the probability distribution of the sum are derived and a detailed application to drought data from Nebraska is provided. Copyright © 2007 John Wiley & Sons, Ltd.