Slice sampler algorithm for generalized pareto distribution

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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...

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Bibliographic Details
Main Authors:	Rostami, Mohammad, Adam, Mohd Bakri, Yahya, Mohamed Hisham, Ibrahim, Noor Akma
Format:	Article
Language:	English
Published:	Hacettepe University 2018
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

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