Predicting high quantiles through the Dirichlet process on extreme modelling

MaRDI QIDQ4686977zbMATH OpenFDO

Authors D. J. de Waal, J. Beirlant, G. Dierckx

Publication date 10 October 2018

Full work available at URL https://hdl.handle.net/10520/EJC99108

zbMATH Keywords

beta distributionBurr distributionentropyPareto distributionpredictive distributionQQ-plottail probabilitiesthreshold

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32)

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Cited in

(1)

• A semi-parametric Bayesian extreme value model using a Dirichlet process mixture of gamma densities

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