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Paper Title :
Numerical Solution to the Problem of Optimal Boundary of Generalized Pareto Mixtures

Author :Emtair Abdalla

Article Citation :Emtair Abdalla , (2016 ) " Numerical Solution to the Problem of Optimal Boundary of Generalized Pareto Mixtures " , International Journal of Advances in Science, Engineering and Technology(IJASEAT) , pp. 113-115, Volume-4,Issue-3, Spl. Iss-1

Abstract : In this paper we introduce a solution to the optimal boundary of a mixture of a generalized Pareto distribution when an explicit boundary is not available. The solution is based on Newton-Raphson iteration method. A special attention is paid to two-component mixtures of equal scale and shape parameters. Three Generalized Pareto sub-models are considered, namely, exponential, Pareto and beta as well as the unified model. Keywords— Bayesian Risk, Discriminant Function, Optimal Boundary, Pareto Mixture, Newton-Raphson Method.

Type : Research paper

Published : Volume-4,Issue-3, Spl. Iss-1


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