Bayesian analysis of extreme events with threshold estimation

The aim of this paper is to analyze extremal events using Generalized Pareto Distributions (GPD), considering explicitly the uncertainty about the threshold. Current practice empirically determines this quantity and proceeds by estimating the GPD parameters based on data beyond it, discarding all th...

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Detalhes bibliográficos
Autor principal: Lopes, Hedibert Freitas (author)
Outros Autores: Assunção, Cibele Noronha Behrens (author), Gamerman, Dani (author)
Formato: article
Idioma:eng
Publicado em: 2014
Assuntos:
Bayesian
Extreme value theory
MCMC
Mixture model
Threshold estimation
Economia
Econometria
Texto completo:http://hdl.handle.net/10438/12961
País:Brasil
Oai:oai:bibliotecadigital.fgv.br:10438/12961

Texto Completo

http://hdl.handle.net/10438/12961

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