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I am starting to do some work using the Generalized Pareto Distribution (GPD), and was hoping someone might be able to point me in the direction of literature (or just general recommendations) on choice of "noninformative" prior for the parameters of the GPD.

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  • $\begingroup$ Stan has a wiki for priors. For GPD specifically, their gpdfit function uses The weakly informative prior is a Gaussian prior centered at 0.5. $\endgroup$
    – drj3122
    Oct 21 at 17:26

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