A default Bayesian procedure for the generalized Pareto distribution

@inproceedings{Castellanos2007ADB,
  title={A default Bayesian procedure for the generalized Pareto distribution},
  author={Mar{\'i}a Eugenia Castellanos and Stefano Cabras},
  year={2007}
}
The generalized Pareto distribution is used to model the exceedances over a threshold in a number of fields, including the analysis of environmental extreme events and financial data analysis. We use this model in a default Bayesian framework where no prior information is available on unknown model parameters. Using a large simulation study, we compare the performance of our posterior estimations of parameters with other methods proposed in the literature. We show that our procedure also allows… CONTINUE READING

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