期刊
JOURNAL OF STATISTICAL PLANNING AND INFERENCE
卷 137, 期 2, 页码 473-483出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.jspi.2006.01.006
关键词
Bayesian inference; extreme value theory; Jeffreys's prior; peaks over the threshold
The generalized Pareto distribution is used to model the exceedances over a threshold in a number of fields, including the analysis of environmental extreme events and financial data analysis. We use this model in a default Bayesian framework where no prior information is available on unknown model parameters. Using a large simulation study, we compare the performance of our posterior estimations of parameters with other methods proposed in the literature. We show that our procedure also allows to make inferences in other quantities of interest in extreme value analysis without asymptotic arguments. We apply the proposed methodology to a real data set. (c) 2006 Elsevier B.V. All rights reserved.
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