Bayesian estimation of the threshold of a generalised Pareto distribution for heavy-tailed observations (Q2398080)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bayesian estimation of the threshold of a generalised Pareto distribution for heavy-tailed observations |
scientific article |
Statements
Bayesian estimation of the threshold of a generalised Pareto distribution for heavy-tailed observations (English)
0 references
15 August 2017
0 references
extreme values
0 references
generalised Pareto distribution
0 references
heavy tails
0 references
Kullback-Leibler divergence
0 references
self-information loss
0 references
0 references
0 references
0 references
0 references
