generalized Pareto distribution
GPTKB entity
Statements (27)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:organization
|
| gptkbp:abbreviation |
gptkb:GPD
|
| gptkbp:application |
finance
hydrology risk analysis modeling tails of distributions |
| gptkbp:cumulativeDistributionFunction |
F(x) = 1 - (1 + b(x-bc)/c)^{-1/b} for b
|
| gptkbp:field |
gptkb:probability_theory
statistics |
| https://www.w3.org/2000/01/rdf-schema#label |
generalized Pareto distribution
|
| gptkbp:introduced |
John Pickands III
|
| gptkbp:introducedIn |
1975
|
| gptkbp:limitation |
Pareto distribution for certain parameter values
exponential distribution when shape parameter = 0 |
| gptkbp:namedAfter |
gptkb:Vilfredo_Pareto
|
| gptkbp:parameter |
location parameter
scale parameter shape parameter |
| gptkbp:pdf |
f(x) = (1/c)(1 + b(x-bc)/c)^{-1/b-1}
|
| gptkbp:relatedTo |
gptkb:generalized_extreme_value_distribution
gptkb:exponential_distribution gptkb:Pareto_distribution |
| gptkbp:supports |
x
bc |
| gptkbp:usedIn |
extreme value theory
|
| gptkbp:bfsParent |
gptkb:generalized_extreme_value_distribution
|
| gptkbp:bfsLayer |
7
|