Modelling heavy tail data with bayesian nonparametric mixtures

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Authors: Luis Enrique Nieto-Barajas
Cited by: 0

Abstract

In the study of heavy tail data, several models have been introduced. If the interest is in the tail of the distribution, block maxima or excess over thresholds are the typical approaches, wasting relevant information in the bulk of the data. To avoid this, mixture models for the body (below the threshold) and the tail (above the threshold) are proposed. In this paper, we exploit the richness of nonparametric mixture models to model heavy tail data. We specifically consider mixtures of shifted gamma-gamma distributions with four parameters and a Poisson-Dirichlet process as a mixing distribution. One of these parameters is associated with the tail. By studying the posterior distribution of the tail parameter, we are able to assess the tail heaviness for each component. We develop an efficient MCMC method with adapting Metropolis-Hastings steps to obtain posterior inference and illustrate with simulated and real datasets.

Fields of Study & Subjects

Bayesian Methods and Mixture Models Probability and Risk Models Statistical Distribution Estimation and Applications

Publication details

Journal / source
arXiv (Cornell University)
Publication date
6 February 2026
Language
EN
Document type
Preprint