Quasi-conjugate Bayes estimates for GPD parameters and application to heavy tails modelling

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

zbMATH Keywords

Markov chain Monte CarloGibbs samplergeneralized Pareto distributionextreme quantiles

Mathematics Subject Classification ID

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

• ismev

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