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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…