Posterior propriety in Bayesian extreme value analyses using reference priors
Posterior propriety in Bayesian extreme value analyses using reference priors
The Generalized Pareto (GP) and Generalized extreme value (GEV) distributions play an important role in extreme value analyses, as models for threshold excesses and block maxima respectively. For each of these distributions we consider Bayesian inference using "reference" prior distributions (in the general sense of priors constructed using formal rules) …