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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Bibliographic Details
Main Author: Lopes, Hedibert Freitas (author)
Other Authors: Assunção, Cibele Noronha Behrens (author), Gamerman, Dani (author)
Format: article
Language:eng
Published: 2014
Subjects:
Bayesian
Extreme value theory
MCMC
Mixture model
Threshold estimation
Economia
Econometria
Online Access:http://hdl.handle.net/10438/12961
Country:Brazil
Oai:oai:bibliotecadigital.fgv.br:10438/12961

Internet

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

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