The gamma generalized pareto distribution with applications in survival analysis

• Autor(a) principal: Andrade, Thiago A. N. de
• Data de Publicação: 2017
• Outros Autores: Fernandez, Luz Milena Zea, Silva, Frank Gomes, Cordeiro, Gauss M.
• Tipo de documento: Artigo
• Idioma: por
• Título da fonte: Repositório Institucional da UFRN
• Texto Completo: https://repositorio.ufrn.br/handle/123456789/49660
• topic: Generalized pareto distribution; Hazard rate function; Survival function

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.