Quasi-conjugate Bayes estimates for GPD parameters and application to heavy tails modelling
From MaRDI portal
Publication:2488471
DOI10.1007/s10687-005-4860-9zbMath1091.62009arXiv1103.6216OpenAlexW2156682754MaRDI QIDQ2488471
Jean Diebolt, Myriam Garrido, Mhamed-Ali El-Aroui, Stéphane Girard
Publication date: 24 May 2006
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1103.6216
Point estimation (62F10) Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32) Numerical analysis or methods applied to Markov chains (65C40)
Related Items (13)
A test procedure for distinguishing logarithmically decaying tail from polynomially decaying tail ⋮ Bayesian estimation of the tail index of a heavy tailed distribution under random censoring ⋮ An efficient and versatile approach to trust and reputation using hierarchical Bayesian modelling ⋮ On posterior consistency of tail index for Bayesian kernel mixture models ⋮ Extreme Value Theory and Statistics of Univariate Extremes: A Review ⋮ Generalizing the Pareto to the log-Pareto model and statistical inference ⋮ Estimation of extreme quantiles from heavy and light tailed distributions ⋮ Bias-reduced extreme quantile estimators of Weibull tail-distributions ⋮ A test procedure for detecting super-heavy tails ⋮ Parameter estimation of the generalized Pareto distribution. II ⋮ A semiparametric Bayesian approach to extreme value estimation ⋮ Bias-reduced estimators of the Weibull tail-coefficient ⋮ Estimation of the Pareto and related distributions – A reference-intrinsic approach
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Estimation of the extreme-value index and generalized quantile plots
- A moment estimator for the index of an extreme-value distribution
- On asymptotic normality of Hill's estimator for the exponent of regular variation
- Estimating tails of probability distributions
- Bootstrap confidence intervals for tail indices.
- Residual life time at great age
- Statistical inference using extreme order statistics
- A simple general approach to inference about the tail of a distribution
- Discretization and MCMC. Convergence assessment
- Parameter estimation for 2-parameter generalized Pareto distribution by POME
- Bayesian analysis of extreme values by mixture modelling
- Vitesse de convergence de l'approximation de Pareto généralisée de la loi des excès
- Robust confidence bounds for extreme upper quantiles
- Parameter and Quantile Estimation for the Generalized Pareto Distribution
- The Asymptotic Behavior of Hill’s Estimator
- Fitting the Generalized Pareto Distribution to Data
- Asymptotic behaviour of the probability-weighted moments and penultimate approximation
- Computing Maximum Likelihood Estimates for the Generalized Pareto Distribution
- Bayesian Methods in Extreme Value Modelling: A Review and New Developments
- A New Class of Bayesian Estimators in Paretian Excess-of-Loss Reinsurance
- An introduction to statistical modeling of extreme values
This page was built for publication: Quasi-conjugate Bayes estimates for GPD parameters and application to heavy tails modelling