Time-varying modeling of the composite LN-GPD

Park, S; Baek, C

Baek, C (reprint author), Sungkyunkwan Univ, Dept Stat, 25-2 Sungkyunkwan Ro, Seoul 03063, South Korea.

KOREAN JOURNAL OF APPLIED STATISTICS, 2018; 31 (1): 109

Abstract

The composite lognormal-generalized Pareto distribution (LN-GPD) is a mixture of right-truncated lognormal and GPD for a given threshold value. Scolln......

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