Still Fit Generalized Pareto Distributions?
نویسندگان
چکیده
In the literature of analyzing extremes, both generalized Pareto distribution and Pareto distribution are employed to infer the tail of a distribution with a known positive extreme value index. Similar studies exist for a known negative extreme value index. Intuitively, one should not employ the generalized Pareto distribution in case of knowing the sign of the extreme value index. In this paper, we show this conjecture is not completely right and shed lights on when one may still prefer to fit a generalized Pareto distribution in case the sign of the extreme value index is known.
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