A default Bayesian procedure for the generalized Pareto distribution

By M. Castellanos, Stefano Cabras. 2007

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Cross‐validatory extreme value threshold selection and uncertainty with application to ocean storm severity (2015, background): “Castellanos and Cabras (2007) showed that the Jeffreys prior yields a proper posterior for nu 1 and Northrop and Attalides (2016) showed that under the flat prior a sufficient condition for posterior propriety is nu 3.”
Asymptotic models and inference for extremes of spatio-temporal data (2010, methodology): “Chavez-Demoulin and Davison (2005) suggest re-parametrization of the GPD parameters by τ = σ(1 + k), whereas Castellanos and Cabras (2006) look at the effect of this re-parametrization on the MCMC method used.”