Bayesian time-varying quantile regression on exceedance

DOI10.1080/02331888.2022.2146691OpenAlexW4309118867MaRDI QIDQ5058306

Marcelo Bourguignon, Fernando Ferraz do Nascimento

Publication date: 20 December 2022

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2022.2146691

zbMATH Keywords

quantile regressionextreme value theorygeneralized Pareto distributiontime-varying modelsexceedance analysis

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• ismev

Cites Work

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• Fitting the Generalized Pareto Distribution to Data
• Regression models for time-varying extremes
• Gibbs sampling methods for Bayesian quantile regression
• An introduction to statistical modeling of extreme values
• Bayesian quantile regression

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