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stat.ML2013
A Semiparametric Bayesian Extreme Value Model Using a Dirichlet Process Mixture of Gamma Densities
Jairo Fuquene
In this paper we propose a model with a Dirichlet process mixture of gamma densities in the bulk part below threshold and a generalized Pareto density in the tail for extreme value…
stat.ME2013
A Robust Bayesian Dynamic Linear Model for Latin-American Economic Time Series: "The Mexico and Puerto Rico Cases"
Jairo Fuquene, Marta Alvarez, Luis Pericchi
The traditional time series methodology requires at least a preliminary transformation of the data to get stationarity. On the other hand, Robust Bayesian Dynamic Models (RBDMs) do…