Bayesian threshold selection for extremal models using measures of surprise
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Publication:1623822
DOI10.1016/j.csda.2014.12.004OpenAlexW2154993566MaRDI QIDQ1623822
Publication date: 23 November 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1311.2994
Bayesian inferencethreshold selectionspectral density functionextremessurprisegeneralised Pareto distributionposterior predictive \(p\)-value
Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32)
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