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Title: The gamma generalized pareto distribution with applications in survival analysis
Authors: Andrade, Thiago A. N. de
Fernandez, Luz Milena Zea
Silva, Frank Gomes
Cordeiro, Gauss M.
Keywords: Generalized pareto distribution;Hazard rate function;Survival function
Issue Date: May-2017
Publisher: International Journal of Statistics and Probability
Citation: ANDRADE, Thiago A. N. et al. The Gamma Generalized Pareto Distribution with Applications in Survival Analysis. Iinternational Journal of Statistics and Probability, v. 6, p. 141-156, 2017. Disponível em: Acesso em: 07 dez. 2017
Portuguese Abstract: We study a three-parameter model named the gamma generalized Pareto distribution. This distribution extends the generalized Pareto model, which has many applications in areas such as insurance, reliability, finance and many others. We derive some of its characterizations and mathematical properties including explicit expressions for the density and quantile functions, ordinary and incomplete moments, mean deviations, Bonferroni and Lorenz curves, generating function, R´enyientropy and order statistics. We discuss the estimation of the model parameters by maximum likelihood. A small Monte Carlo simulation study and two applications to real data are presented. We hope that this distribution may be useful for modeling survival and reliability data.
Appears in Collections:CCET - DEST - Artigos publicados em periódicos

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