Bayesian approach to parameter estimation of the generalized Pareto distribution

DOI10.1007/BF02595822zbMath1039.62023MaRDI QIDQ1423871

P. de Zea Bermudes, M. Antonia Amaral-Turkman

Publication date: 7 March 2004

Published in: Test (Search for Journal in Brave)

zbMATH Keywords

maximum likelihoodGibbs samplinggeneralized Pareto distributionpeaks over thresholdelemental percentile methodprobability-weighted moments

Mathematics Subject Classification ID

Point estimation (62F10) Bayesian inference (62F15)

Related Items (11)

Semi-parametric approach to the Hasofer-Wang and Greenwood statistics in extremes ⋮ A default Bayesian procedure for the generalized Pareto distribution ⋮ An extreme value Bayesian Lasso for the conditional left and right tails ⋮ Bayesian estimation of the threshold of a generalised Pareto distribution for heavy-tailed observations ⋮ Default Priors Based on Pseudo-Likelihoods for the Poisson-GPD Model ⋮ Extreme Value Theory and Statistics of Univariate Extremes: A Review ⋮ Bayesian approach to parameter estimation of the generalized Pareto distribution ⋮ Parameter estimation of the generalized Pareto distribution. II ⋮ A matching prior for extreme quantile estimation of the generalized Pareto distribution ⋮ A one- and two-dimensional generalized Pareto model for a river flow ⋮ Estimation of the Pareto and related distributions – A reference-intrinsic approach

Uses Software

• CODA

Cites Work

• Unnamed Item
• Unnamed Item
• Statistical inference using extreme order statistics
• Bayesian approach to parameter estimation of the generalized Pareto distribution
• Bayesian Estimation and Prediction for Pareto Data
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Extreme value statistics and wind storm losses: A case study
• Estimating the probability of obtaining nonfeasible parameter estimates of the generalized pareto distribution
• Fitting the Generalized Pareto Distribution to Data
• Adaptive Rejection Metropolis Sampling within Gibbs Sampling
• Computing Maximum Likelihood Estimates for the Generalized Pareto Distribution

This page was built for publication: Bayesian approach to parameter estimation of the generalized Pareto distribution