A matching prior for extreme quantile estimation of the generalized Pareto distribution (Q2270277)
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scientific article; zbMATH DE number 5682918
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| English | A matching prior for extreme quantile estimation of the generalized Pareto distribution |
scientific article; zbMATH DE number 5682918 |
Statements
A matching prior for extreme quantile estimation of the generalized Pareto distribution (English)
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18 March 2010
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quantile estimation
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generalized Pareto distribution
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peaks-over-threshold model
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risk management
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probability matching prior
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0.8077325224876404
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0.8023677468299866
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0.7985403537750244
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0.7956991195678711
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0.7872335910797119
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