3 papers
math.ST2016
A Property of the Kullback--Leibler Divergence for Location-scale Models
Cristiano Villa
In this paper, we discuss a property of the Kullback--Leibler divergence measured between two models of the family of the location-scale distributions. We show that, if model …
stat.ME2016
Bayesian Estimation of the Threshold of a Generalised Pareto Distribution for Heavy-Tailed Observations
Cristiano Villa
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-t…
math.ST2015
On the Mathematics of the Jeffreys-Lindley Paradox
Cristiano Villa, Stephen Walker
This paper is concerned with the well known Jeffreys-Lindley paradox. In a Bayesian set up, the so-called paradox arises when a point null hypothesis is tested and an objective pri…