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math.ST2016★ 1 cited
The Mean/Max Statistic in Extreme Value Analysis
Paul Rochet, Isabel Serra
Most extreme events in real life can be faithfully modeled as random realizations from a Generalized Pareto distribution, which depends on two parameters: the scale and the shape.…
math.ST2012
The full-tails gamma distribution applied to model extreme values
Joan del castillo, Jalila Daoudi, Isabel Serra
In this article we show the relationship between the Pareto distribution and the gamma distribution. This shows that the second one, appropriately extended, explains some anomalies…