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}
}
  • Fernando Ferraz do Nascimento, Dani Gamerman, Hedibert Freitas Lopes
  • Published in Stat. Comput. 2012
  • Computer Science, Mathematics
  • 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

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