A Bayesian semi-parametric approach to extreme regime identification
نویسندگان
چکیده
منابع مشابه
A Bayesian semi-parametric approach to extreme regime identification
Limiting tail behavior of distributions are known to follow one of three possible limiting distributions, depending on the domain of attraction of the observational model under suitable regularity conditions. This work proposes a new approach for identification and analysis of the limiting regimes that these data exceedances belong to. The model-based approach uses a mixture at the observationa...
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ژورنال
عنوان ژورنال: Brazilian Journal of Probability and Statistics
سال: 2016
ISSN: 0103-0752
DOI: 10.1214/15-bjps293