Bayesian Inference for Non-Parametric Extreme Value Theory
Methodology
2022-05-18 v1 Statistics Theory
Statistics Theory
Abstract
Statistical inference for extreme values of random events is difficult in practice due to low sample sizes and inaccurate models for the studied rare events. If prior knowledge for extreme values is available, Bayesian statistics can be applied to reduce the sample complexity, but this requires a known probability distribution. By working with the quantiles for extremely low probabilities (in the order of or lower) and relying on their asymptotic normality, inference can be carried out without assuming any distributions. Despite relying on asymptotic results, it is shown that a Bayesian framework that incorporates prior information can reduce the number of observations required to estimate a particular quantile to some level of accuracy.
Cite
@article{arxiv.2205.08245,
title = {Bayesian Inference for Non-Parametric Extreme Value Theory},
author = {Tobias Kallehauge},
journal= {arXiv preprint arXiv:2205.08245},
year = {2022}
}