The full-tails gamma distribution applied to model extreme values

Castillo, Joan del; Daoudi, Jalila; Serra, Isabel

doi:10.48550/arxiv.1211.0130

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2016

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“…or by a mixture model where the components are densities of the same family, such as a mixture of gamma densities (del Castillo et al, 2012;Venturini et al, 2008) or normal densities.…”

Section: Discussionmentioning

confidence: 99%

Bayesian estimation of the threshold of a generalised pareto distribution for heavy-tailed observations

Villa

2016

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In this paper, we discuss a method to define prior distributions for the threshold of a generalised Pareto distribution, in particular when its applications are directed to heavy-tailed data. We propose to assign prior probabilities to the order statistics of a given set of observations. In other words, we assume that the threshold coincides with one of the data points. We show two ways of defining a prior: by assigning equal mass to each order statistic, that is a uniform prior, and by considering the worth that every order statistic has in representing the true threshold. Both proposed priors represent a scenario of minimal information, and we study their adequacy through simulation exercises and by analysing two applications from insurance and finance.

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“…or by a mixture model where the components are densities of the same family, such as a mixture of gamma densities (del Castillo et al, 2012;Venturini et al, 2008) or normal densities.…”

Section: Discussionmentioning

confidence: 99%

Bayesian estimation of the threshold of a generalised pareto distribution for heavy-tailed observations

Villa

2016

TEST

View full text Add to dashboard Cite

show abstract

The full-tails gamma distribution applied to model extreme values

Cited by 1 publication

References 0 publications

Bayesian estimation of the threshold of a generalised pareto distribution for heavy-tailed observations

Bayesian estimation of the threshold of a generalised pareto distribution for heavy-tailed observations

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