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Model misspecification in peaks over threshold analysis
Cluster extremal index extreme value theory likelihood
2010/10/19
Classical peaks over threshold analysis is widely used for statistical modeling of sample extremes, and can be supplemented by a model for the sizes of clusters of exceedances. Under mild conditions ...
On rates of convergence for posterior distributions under misspecification
α-covering Bayesian nonparametrics Prior misspecification
2010/4/26
We extend the approach of Walker (2003, 2004) to the case of misspecified models.
A sufficient condition for establishing rates of convergence is given based on a key
identity involving martingales,...