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Robust Bayesian inference of generalized Pareto distribution. (English. French summary) Zbl 1358.62032

Summary: In this work, robust Bayesian estimation of the generalized Pareto distribution is proposed. The methodology is presented in terms of oscillation of posterior risks of the Bayesian estimators. By using a Monte Carlo simulation study, we show that, under a suitable generalized loss function, we can obtain a robust Bayesian estimator of the model.

MSC:

62F15 Bayesian inference
62F35 Robustness and adaptive procedures (parametric inference)
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Full Text: Euclid