On Generalized Pareto Distributions
AbstractThis paper discusses a set of algorithms for numerical simulation of the Generalized Pareto Distribution and the propositions they are based on. The numerical results and the histogram of generating data are also presented.
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Bibliographic InfoArticle provided by Institute for Economic Forecasting in its journal Romanian Journal for Economic Forecasting.
Volume (Year): (2010)
Issue (Month): 1 (March)
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Generalized Pareto Distribution; numerical simulation;
Find related papers by JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
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