A Bayesian Based Generalized Pareto Distribution Change Point Estimation
The article studies the estimation problem of the single change point of the generalized Pareto distribution,and uses Bayesian methods to estimate the change point of the generalized Pareto distribution.Simulation results show that Bayesian methods can achieve better results.At the same time,comparing the Bayesian method with the maximum likelihood method based on KL divergence likeli-hood ratio statistic,it is found that the Bayesian method has better performance.
万方数据
维普
