[Scipy-tickets] [SciPy] #768: Add the limiting exponential distribution to the generalized pareto distribution when shape c=0.
SciPy
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Fri Oct 31 04:46:43 CDT 2008
#768: Add the limiting exponential distribution to the generalized pareto
distribution when shape c=0.
-------------------------+--------------------------------------------------
Reporter: pbrod | Owner: somebody
Type: enhancement | Status: new
Priority: normal | Milestone:
Component: scipy.stats | Version:
Severity: normal | Keywords:
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The generalized pareto cumulative distribution in standard form [1]_ is
defined as:
{{{
F(x;c) = 1-(1-c*x)**(1/c) for c>0 and c<0
}}}
where c is the shape parameter.
The limiting case as c->0 is the exponential cdf defined as
{{{
F(x;c=0) = 1-exp(-x)
}}}
and is not implemented in the scipy.stats.distributions.genpareto
distribution.
To add this limiting case to scipy.stats.distributions.genpareto would
greatly simplify statistical analysis. Through inference on the shape
parameter, c, the data themselves determine the most approprate type of
tailbehavior and there is no need for making subjective a priori judgement
of which individual extremevalue family to adopt.
.. [1] Stuart Coles (2000),
"An Introduction to Statistical Modeling of Extreme Values"
--
Ticket URL: <http://scipy.org/scipy/scipy/ticket/768>
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