Bayesian inference for extreme quantiles of heavy tailed distributions

Rafael Bráz Azevedo Farias; Michel H. Montoril; J. A. A. Andrade

doi:10.1016/j.spl.2016.02.020

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Bayesian inference for extreme quantiles of heavy tailed distributions

Rafael Bráz Azevedo Farias Michel H. Montoril J. A. A. Andrade

Year: 2016 Journal: Statistics & Probability Letters Vol: 113 Pages: 103-107 Publisher: Elsevier BV

DOI: 10.1016/j.spl.2016.02.020

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Keywords:

Quantile Mathematics Inference Bayesian probability Bayesian inference Statistics Extreme value theory Econometrics Computer science Artificial intelligence

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Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Statistical Distribution Estimation and Applications

Physical Sciences → Mathematics → Statistics and Probability

Statistical Methods and Inference

Physical Sciences → Mathematics → Statistics and Probability

Bayesian inference for extreme quantiles of heavy tailed distributions

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