Bayesian inference on extreme value distribution using upper record values

Jung In Seo and Yongku Kim

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 15, 7751-7768

Abstract: In this paper we address estimation and prediction problems for extreme value distributions under the assumption that the only available data are the record values. We provide some properties and pivotal quantities, and derive unbiased estimators for the location and rate parameters based on these properties and pivotal quantities. In addition, we discuss mean-squared errors of the proposed estimators and exact confidence intervals for the rate parameter. In Bayesian inference, we develop objective Bayesian analysis by deriving non informative priors such as the Jeffrey, reference, and probability matching priors for the location and rate parameters. We examine the validity of the proposed methods through Monte Carlo simulations for various record values of size and present a real data set for illustration purposes.

Date: 2017
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DOI: 10.1080/03610926.2016.1165848

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