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8. O DISTRIBUTIONS N GENERALIZED PARETO
www.ipe.roOn Generalized Pareto Distributions Romanian Journal of Economic Forecasting – 1/2010 109 Lemma 1:Let X be a random variable having F, the cumulative distribution function, inversable, and let U be a uniform random variable on 0,1.Then Y F 1 U has the same cumulative distribution function with X (e. g. Y is a sample of X). Proof: P Y y P(F 1(U) y) P(U F(y)) F(y), U being uniformly