Generalized extreme value distribution with time-dependence using the AR and MA models in state space form

DOI10.1016/J.CSDA.2011.04.017zbMath1255.62150OpenAlexW2123399453MaRDI QIDQ1927108

Yasuhiro Omori, Sylvia Frühwirth-Schnatter, Tsuyoshi Kunihama, Jouchi Nakajima

Publication date: 30 December 2012

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

Full work available at URL: https://doi.org/10.1016/j.csda.2011.04.017

zbMATH Keywords

extreme valuesMarkov chain Monte Carlostock returnsgeneralized extreme value distributionstate space modelmixture sampler

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (11)

Modeling tails of aggregate economic processes in a stochastic growth model ⋮ AR(1) processes driven by second-chaos white noise: Berry-Esséen bounds for quadratic variation and parameter estimation ⋮ Stochastic tail index model for high frequency financial data with Bayesian analysis ⋮ A Bayesian hierarchical model for spatial extremes with multiple durations ⋮ Efficient estimation and particle filter for max-stable processes ⋮ Extreme value distributions: an overview of estimation and simulation ⋮ Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes ⋮ Modified maximum spacings method for generalized extreme value distribution and applications in real data analysis ⋮ Bayesian state-space modeling in gene expression data analysis: an application with biomarker prediction ⋮ Dynamic generalized extreme value modeling via particle filters ⋮ Extreme value autoregressive model and its applications

Uses Software

• BayesDA
• ismev

Cites Work

• Unnamed Item
• Unnamed Item
• Stochastic volatility with leverage: fast and efficient likelihood inference
• Auxiliary mixture sampling with applications to logistic models
• Block sampler and posterior mode estimation for asymmetric stochastic volatility models
• Point processes and multivariate extreme values
• Accounting for the threshold uncertainity in extreme value estimation
• Smoothing sample extremes with dynamic models
• Finite mixture and Markov switching models.
• Auxiliary mixture sampling for parameter-driven models of time series of counts with applications to state space modelling
• Efficient estimation and particle filter for max-stable processes
• Marginal Likelihood from the Gibbs Output
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Likelihood analysis of non-Gaussian measurement time series
• A simple and efficient simulation smoother for state space time series analysis
• Filtering via Simulation: Auxiliary Particle Filters
• The behavior of multivariate maxima of moving maxima processes
• Disturbance smoother for state space models
• Marginal Likelihood From the Metropolis–Hastings Output
• The simulation smoother for time series models
• Statistical analysis and time-series models for minimum/maximum temperatures in the Antarctic Peninsula
• A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard & Pitt (1997)
• Contemporary Bayesian Econometrics and Statistics
• An introduction to statistical modeling of extreme values

This page was built for publication: Generalized extreme value distribution with time-dependence using the AR and MA models in state space form