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The generalized Pareto sum

✍ Scribed by Saralees Nadarajah; Samuel Kotz


Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
169 KB
Volume
22
Category
Article
ISSN
0885-6087

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✦ Synopsis


Abstract

The generalized Pareto distribution has received much popularity as models for extreme events in hydrological sciences. In this note, the important problem of the sum of two independent generalized Pareto random variables is considered. Exact analytical expressions for the probability distribution of the sum are derived and a detailed application to drought data from Nebraska is provided. Copyright Β© 2007 John Wiley & Sons, Ltd.


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