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Untitled - UFRJ

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A Semiparametric Bayesian Approach to Extreme ValueEstimationFernando Ferraz do NascimentoUniversidade Federal do Rio de JaneiroDani GamermanUniversidade Federal do Rio de JaneiroHedibert Freitas LopesUniversity of ChicagoThis work is concerned with extreme value density estimation. The generalized Pareto distribution(GPD) beyond a given threshold is combined with a nonparametric estimation approach above thethreshold. This semiparametric setup is shown to generalize a few existing approaches and enablesdensity estimation over the complete sample space. Estimation is performed via the Bayesian paradigm,which helps identify model components. Estimation of all model parameters, including the thresholdand higher quantiles, and prediction for future observations are provided. Simulation studies suggests afew useful guidelines to evaluate the relevance of the proposed procedures. Models are then applied toenvironmental data sets. The paper is concluded with a few directions for future work.106

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