Physical Sciences and Mathematics Commons^™

Priors For A Bayesian Analysis Of Extreme Values, Sally Wood, Julian Wang

Sally Wood

This article proposes a new prior specification for a Bayesian analysis of the k largest order statistics model. We show that using Jeffreys priors for the end-point and shape parameters of the k largest order statistics model leads to biased estimates of the shape parameter for small to medium sample sizes and to the posterior mode of the end-point being equal to the most extreme observed value. We propose a conjugate prior for the shape parameter and a prior for the end-point which removes the posterior mode at the most extreme observed value while remaining uninformative for values of the …