A Censored Bayesian Hierarchical Model For Precipitation
  Modelling of precipitation, including extremes, is important for hydrological and agricultural applications. Traditionally, because of large sample properties for data over a large threshold value, generalised Pareto (GP) distributions are often used for modelling extreme rainfall. It can be shown that under certain conditions the generalised hyperbolic (GH) distributions can approximate the power law decay of the GP distribution in the tails. Given their flexible form, this raises the possibility that distributions from the GH family serve as a model for the entire rainfall distribution thus avoiding the need to select a threshold. In this paper, we use a flexible censored hierarchical model that leverages the GH distribution to accommodate data subject to heavy tails and an excessive number of zeros. The fitted model allows estimation of probabilities and return periods of the rainfall extremes, and it produces narrower credible intervals in the tails than the traditional GP method. The model not only fits the tails of the rainfall distribution, but fits the whole distribution very well. It also efficiently represents short-term dependencies in the data so it is suitable for evaluating duration over and below thresholds as well as duration of zero rainfall. 
Yang Liu, Philip Kokic and K.Shuvo Bakar
stat.AP