Comparison Between Bayesian and Frequentist Tail Probability Estimates

Tail probability plays an important part in the extreme value theory. Sometimes conclusions from two approaches for estimating tail of events, Bayesian and frequentist methods, can differ a lot. In 1999, rainfall that caused more than 30,000 deaths Venezuela was not captured by simple techniques. However, this catastrophic surprising if inference used to allow parameter uncertainty full available data exploited [4]. paper, we investigate reasons estimator is always higher estimator. Sufficient conditions phenomenon are established both using Jensen’s Inequality looking at Taylor series approximations, which point convexity distribution function.