A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2017; you can also visit the original URL.
The file type is application/pdf
.
Default Priors Based on Pseudo-Likelihoods for the Poisson-GPD Model
[chapter]
2013
Advances in Theoretical and Applied Statistics
Extreme values are usually modeled with the peaks over the threshold approach by means of the Poisson-Generalized Pareto Distribution (Poisson-GPD). This model is governed by three parameters: the Poisson rate, the scale and the shape of the GPD. The quantity of interest, in many applications, is the mean return level which is a function of Poisson-GPD parameters. Moreover, the shape parameter of GPD is itself of interest in order to gain more insights on the underlying extremal process. For a
doi:10.1007/978-3-642-35588-2_1
fatcat:zda4nk5qhjbepguyyy6iray6nm