A Sieve model for extreme values
From the class of extreme value distributions, we focus on the set of heavy-tailed distributions which produce low-frequency, high-cost events. The regular Pareto distribution is the basic model of choice, being the simplest heavy-tailed distribution. Real data suggest that modifications
of the Pareto distribution may be a better fit; an alternative model is the truncated Pareto distribution (TPD). For further study, this paper proposed a TPD Sieve class of distributions. The properties and estimation on the Sieve class are also discussed. We fit the models to the largest
Black Sea bass caught in Buzzard's Bay, MA, USA and the costliest Atlantic hurricanes from 1900 to 2005. Using measures of model adequacy, the TPD Sieve model is generally found to be the best-fitting model.
Keywords: Black Sea bass; Pareto distribution; Sieve class of distributions; conservation biology; extreme value theory; heavy-tailed distributions; hurricanes; power law; primary: 62G30; secondary: 62G32; truncated Pareto distribution
Document Type: Research Article
Affiliations: 1: Department of Statistics, University of British Columbia, Vancouver, BC, Canada 2: Department of Mathematics, Brock University, St. Catharines, ON, Canada
Publication date: 03 August 2014
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