Bayesian estimation of the threshold of a generalised Pareto distribution for heavy-tailed observations

DOI10.1007/s11749-016-0501-7zbMath1422.62111arXiv1604.01268OpenAlexW2339026745WikidataQ59615103 ScholiaQ59615103MaRDI QIDQ2398080

Cristiano Villa

Publication date: 15 August 2017

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.01268

zbMATH Keywords

extreme valuesheavy tailsKullback-Leibler divergencegeneralised Pareto distributionself-information loss

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32)

Related Items

An extreme value Bayesian Lasso for the conditional left and right tails, Exact posterior distribution for nonconjugate Pareto models

Uses Software

• GSM
• ismev

Cites Work

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