Quasi-Conjugate Bayes Estimates for GPD Parameters and Application to Heavy Tails Modelling

Author:

Diebolt Jean,El-Aroui Mhamed-Ali,Garrido Myriam,Girard Stéphane

Publisher

Springer Science and Business Media LLC

Subject

Economics, Econometrics and Finance (miscellaneous),Engineering (miscellaneous),Statistics and Probability

Reference32 articles.

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2. Balkema, A. and de Haan, L., “Residual life time at a great age,” Ann. Probab. 2, 792–804, (1974).

3. Beirlant, J. and Teugels, J., “Asymptotic normality of Hill's estimator,” in Extreme Value Theory (J. Hüsler and R.D. Reiss, eds), Proceedings of the Oberwolfach Conference, 1987, Springer-Verlag, New York, 1989.

4. Beirlant, J., Dierckx, G., and Guillou, A., Estimation of the Extreme Value Index and Regression on Generalized Quantile Plots, Preprint, Catholic University of Leuven, Catholic University of Leuven, Belgium, 2001.

5. Bottolo, L., Consonni, G., Dellaportas, P., and Lijoi, A., “Bayesian analysis of extreme values by mixture modeling,” Extremes 6, 25–47, (2003).

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