Slice sampler algorithm for generalized pareto distribution
In this paper, we developed the slice sampler algorithm for the generalized Pareto distribution (GPD) model. Two simulation studies have shown the performance of the peaks over given threshold (POT) and GPD density function on various simulated data sets. The results were compared with another commo...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Hacettepe University
2018
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| Online Access: | http://psasir.upm.edu.my/id/eprint/73905/ http://psasir.upm.edu.my/id/eprint/73905/1/Slice%20sampler%20algorithm%20for%20generalized%20pareto%20distribution.pdf |
| _version_ | 1848857392380379136 |
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| author | Rostami, Mohammad Adam, Mohd Bakri Yahya, Mohamed Hisham Ibrahim, Noor Akma |
| author_facet | Rostami, Mohammad Adam, Mohd Bakri Yahya, Mohamed Hisham Ibrahim, Noor Akma |
| author_sort | Rostami, Mohammad |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | In this paper, we developed the slice sampler algorithm for the generalized Pareto distribution (GPD) model. Two simulation studies have shown the performance of the peaks over given threshold (POT) and GPD density function on various simulated data sets. The results were compared with another commonly used Markov chain Monte Carlo (MCMC) technique called Metropolis-Hastings algorithm. Based on the results, the slice sampler algorithm provides closer posterior mean values and shorter 95% quantile based credible intervals compared to the Metropolis-Hastings algorithm. Moreover, the slice sampler algorithm presents a higher level of stationarity in terms of the scale and shape parameters compared with the Metropolis-Hastings algorithm. Finally, the slice sampler algorithm was employed to estimate the re- turn and risk values of investment in Malaysian gold market. |
| first_indexed | 2025-11-15T11:56:49Z |
| format | Article |
| id | upm-73905 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T11:56:49Z |
| publishDate | 2018 |
| publisher | Hacettepe University |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-739052020-05-17T17:30:40Z http://psasir.upm.edu.my/id/eprint/73905/ Slice sampler algorithm for generalized pareto distribution Rostami, Mohammad Adam, Mohd Bakri Yahya, Mohamed Hisham Ibrahim, Noor Akma In this paper, we developed the slice sampler algorithm for the generalized Pareto distribution (GPD) model. Two simulation studies have shown the performance of the peaks over given threshold (POT) and GPD density function on various simulated data sets. The results were compared with another commonly used Markov chain Monte Carlo (MCMC) technique called Metropolis-Hastings algorithm. Based on the results, the slice sampler algorithm provides closer posterior mean values and shorter 95% quantile based credible intervals compared to the Metropolis-Hastings algorithm. Moreover, the slice sampler algorithm presents a higher level of stationarity in terms of the scale and shape parameters compared with the Metropolis-Hastings algorithm. Finally, the slice sampler algorithm was employed to estimate the re- turn and risk values of investment in Malaysian gold market. Hacettepe University 2018 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/73905/1/Slice%20sampler%20algorithm%20for%20generalized%20pareto%20distribution.pdf Rostami, Mohammad and Adam, Mohd Bakri and Yahya, Mohamed Hisham and Ibrahim, Noor Akma (2018) Slice sampler algorithm for generalized pareto distribution. Hacettepe Journal of Mathematics and Statistics, 47 (4). Jan-32. ISSN 1303-5010 10.15672/HJMS.2017.441 |
| spellingShingle | Rostami, Mohammad Adam, Mohd Bakri Yahya, Mohamed Hisham Ibrahim, Noor Akma Slice sampler algorithm for generalized pareto distribution |
| title | Slice sampler algorithm for generalized pareto distribution |
| title_full | Slice sampler algorithm for generalized pareto distribution |
| title_fullStr | Slice sampler algorithm for generalized pareto distribution |
| title_full_unstemmed | Slice sampler algorithm for generalized pareto distribution |
| title_short | Slice sampler algorithm for generalized pareto distribution |
| title_sort | slice sampler algorithm for generalized pareto distribution |
| url | http://psasir.upm.edu.my/id/eprint/73905/ http://psasir.upm.edu.my/id/eprint/73905/ http://psasir.upm.edu.my/id/eprint/73905/1/Slice%20sampler%20algorithm%20for%20generalized%20pareto%20distribution.pdf |