collaborators

1 paper

stat.ME2011

Quasi-conjugate Bayes estimates for GPD parameters and application to heavy tails modelling

Jean Diebolt, Mhamed El-Aroui, Myriam Garrido +1

We present a quasi-conjugate Bayes approach for estimating Generalized Pareto Distribution (GPD) parameters, distribution tails and extreme quantiles within the Peaks-Over-Threshol…