Bayesian analysis of tail asymmetry based on a threshold extreme value model

DOI10.1016/j.csda.2013.02.008zbMath1471.62186MaRDI QIDQ1621333

Raymond K. S. Chan, Mike K. P. So

Publication date: 8 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2013.02.008

zbMATH Keywords

model selection; time series; threshold models; tail asymmetry; Bayesian tests

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F15: Bayesian inference

Related Items

Multivariate modelling of spatial extremes based on copulas, Bayesian estimation of the tail index of a heavy tailed distribution under random censoring, A Bayesian hierarchical model for spatial extremes with multiple durations, The integrated copula spectrum

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