Non-Parametric Bayesian Inference on Bivariate Extremes

DOI10.1111/j.1467-9868.2010.00770.xzbMath1411.62126arXiv0911.3270OpenAlexW2096793037MaRDI 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

zbMATH Keywords

predictionBayesspectral measureMarkov chain Monte Carlo methodsbivariate extreme value distributionMetropolis-within-Gibbs samplingrare event probabilitiesreversible jumpsextreme conditional quantiles\(\phi\)-irreducibility

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05)

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