The Properties of Inverse Pareto Distribution and its Application to Extreme Events

Authors

  • Sukanda Dankunprasert Faculty of Science, Khon Kaen University, Khon Kaen, Thailand
  • Uraiwan Jaroengeratikun Faculty of Applied Science, King Mongkut’s University of Technology North Bangkok, Bangkok, Thailand
  • Tosaporn Talangtam Faculty of Science, Khon Kaen University, Khon Kaen, Thailand

Keywords:

Danish fire data, generalized Pareto distribution, heavy tailed distribution, infinite-mixture distribution, peak over threshold

Abstract

In this paper we present some properties of the inverse Pareto distribution (IPD). We compare IPD to gamma distribution, exponential distribution and generalized Pareto distribution (GPD). The data sets over threshold u are analyzed and obtained by the Monte Carlo simulation and the use of Danish fire data. The maximum likelihoode stimation (MLE) is the parameter estimation. The various measurements of model fitting are the Kolmogorov-Smirnov test (KS test), the Anderson-Darling test (AD test), Akaike information criterion (AIC) and Bayesian Information criterion (BIC). We found that the IPD is a good competitor with GPD for the modeling of extreme events.

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Published

2020-12-28

How to Cite

Dankunprasert, S. ., Jaroengeratikun, U. ., & Talangtam, T. . (2020). The Properties of Inverse Pareto Distribution and its Application to Extreme Events. Thailand Statistician, 19(1), 1–13. Retrieved from https://ph02.tci-thaijo.org/index.php/thaistat/article/view/242808

Issue

Vol. 19 No. 1 (2021): January

Section

Articles