Polynomial power-Pareto quantile function models |
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Authors: | Yuzhi Cai |
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Institution: | (1) Department of Statistics, School of Mathematics, University of New South Wales, Sydney, 2052, Australia;(2) University of Puerto Rico, San Juan, PR, USA;(3) University of Padova, Padova, Italy |
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Abstract: | In this paper we propose a polynomial power-Pareto quantile function model and a Bayesian method for parameters estimation.
We also carried out simulation studies and applied our methodology to real data sets empirically. The results show that a
quantile function approach to statistical modelling is very flexible due to the properties of quantile functions, and that
the combination of a power and a Pareto distribution enables us to model both the main body and the tails of a distribution,
even though the mathematical form of the distribution does not exist. Our research also suggests a new approach to studying
extreme values based on a whole data set rather than group maximum/minimum or exceedances above/below a proper threshold value. |
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Keywords: | |
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