A semiparametric Bayesian approach to extreme value estimation

@article{Nascimento2012ASB,
  title={A semiparametric Bayesian approach to extreme value estimation},
  author={Fernando Ferraz do Nascimento and Dani Gamerman and Hedibert Freitas Lopes},
  journal={Statistics and Computing},
  year={2012},
  volume={22},
  pages={661-675}
}
This paper is concerned with extreme value density estimation. The generalized Pareto distribution (GPD) beyond a given threshold is combined with a nonparametric estimation approach below the threshold. This semiparametric setup is shown to generalize a few existing approaches and enables density estimation over the complete sample space. Estimation is performed via the Bayesian paradigm, which helps identify model components. Estimation of all model parameters, including the threshold and… CONTINUE READING

References

Publications referenced by this paper.
Showing 1-10 of 34 references

Modelling Extremal Events for Insurance and Finance

  • P. Embrechts, C. Küppelberg, T. Mikosch
  • 1997
Highly Influential
6 Excerpts

Estimation of finite mixture distributions by Bayesian sampling

  • J. Diebolt, C. Robert
  • J. R. Stat. Soc., Ser. B
  • 1994
Highly Influential
5 Excerpts

Applied Probability and Queues

  • S. Asmussen
  • 1987
Highly Influential
4 Excerpts

Statistical inference using extreme order statistics

  • J. Pickands
  • Ann. Stat. 3,
  • 1975
Highly Influential
4 Excerpts

A default Bayesian procedure for the generalized Pareto distribution

  • M. A. Castellanos, S. Cabras
  • J. Stat. Plan. Inference 137,
  • 2007
Highly Influential
3 Excerpts

Extreme Value Theory an Applications

  • S. G. Coles
  • Kluver Academic,
  • 2001
Highly Influential
3 Excerpts

Mixtures of gamma distributions with applications

  • M. Wiper, D. Rios Insua, F. Ruggeri
  • J. Comput. Graph. Stat. 10,
  • 2001
Highly Influential
4 Excerpts

A Bayesian analysis of extreme rainfall data

  • S. G. Coles, J. A. Tawn
  • Appl. Stat
  • 1996
Highly Influential
2 Excerpts

Ox: Object Oriented Matrix Programming, 4.1 console version

  • JA Doornik
  • Nuffield College,
  • 1996
Highly Influential
2 Excerpts

On the estimation of the frequency distributions of the largest and smallest number of a sample

  • R. A. Fisher, L.H.C. Tippett
  • Proc. Camb. Philos. Soc
  • 1928
Highly Influential
3 Excerpts

Similar Papers

Loading similar papers…