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Bayesian approach to parameter estimation of the generalized pareto distribution

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  • P. Zea Bermudez

  • M. Turkman

Abstract

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Suggested Citation

  • P. Zea Bermudez & M. Turkman, 2003. "Bayesian approach to parameter estimation of the generalized pareto distribution," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 12(1), pages 259-277, June.
    • Handle: RePEc:spr:testjl:v:12:y:2003:i:1:p:259-277
    DOI: 10.1007/BF02595822
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    References listed on IDEAS

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    1. W. R. Gilks & N. G. Best & K. K. C. Tan, 1995. "Adaptive Rejection Metropolis Sampling Within Gibbs Sampling," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 44(4), pages 455-472, December.
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    1. Eric Vansteenberghe, 2026. "Insurance supervision under climate change: a pioneer detection method," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 51(1), pages 176-207, January.
    2. M. Ivette Gomes & Armelle Guillou, 2015. "Extreme Value Theory and Statistics of Univariate Extremes: A Review," International Statistical Review, International Statistical Institute, vol. 83(2), pages 263-292, August.
    3. Xu Zhao & Zhongxian Zhang & Weihu Cheng & Pengyue Zhang, 2019. "A New Parameter Estimator for the Generalized Pareto Distribution under the Peaks over Threshold Framework," Mathematics, MDPI, vol. 7(5), pages 1-18, May.
    4. M. Carvalho & S. Pereira & P. Pereira & P. Zea Bermudez, 2022. "An Extreme Value Bayesian Lasso for the Conditional Left and Right Tails," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 27(2), pages 222-239, June.
    5. Cristiano Villa, 2017. "Bayesian estimation of the threshold of a generalised pareto distribution for heavy-tailed observations," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 26(1), pages 95-118, March.

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