A double generalized Pareto distribution

Papastathopoulos and Tawn [Papastathopoulos, I., Tawn, J.A., 2013. A generalized Student’s tt-distribution. Statistics & Probability Letters 83, 70–77] proposed a generalization of Student’s tt distribution to account for negative degrees of freedom. Here, an alternative distribution that has simpler mathematical properties is discussed. Several advantages are established for using the alternative distribution over Papastathopoulos and Tawn’s generalization.