Accounting for threshold uncertainty in extreme value estimation

Extremes

Volumn 9, Issue 2, 2006, Pages 87-106

  Tancredi, Andrea ^a   Anderson, Clive ^b   O'Hagan, Anthony ^b  

^a SAPIENZA UNIVERSITY OF ROME   (Italy)

^b UNIVERSITY OF SHEFFIELD   (United Kingdom)

Author keywords

Extreme value theory; Generalized Pareto distribution; Reversible jump algorithm; Threshold estimation; Uniform mixtures

Indexed keywords

EID: 37849187877     PISSN: 13861999     EISSN: 1572915X     Source Type: Journal    
DOI: 10.1007/s10687-006-0009-8     Document Type: Article

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