Non-Parametric Bayesian Inference on Bivariate Extremes
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Publication:4632661
DOI10.1111/j.1467-9868.2010.00770.xzbMath1411.62126arXiv0911.3270MaRDI QIDQ4632661
François Perron, Simon Guillotte, Johan Segers
Publication date: 30 April 2019
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0911.3270
predictionBayesspectral measureMarkov chain Monte Carlo methodsbivariate extreme value distributionMetropolis-within-Gibbs samplingrare event probabilitiesreversible jumpsextreme conditional quantiles\(\phi\)-irreducibility
60J22: Computational methods in Markov chains
62F15: Bayesian inference
62G32: Statistics of extreme values; tail inference
65C05: Monte Carlo methods
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