A Bayesian approach to extended models for exceedance

DOI10.1214/17-BJPS378MaRDI QIDQ1705548zbMATH OpenOpenAlexFDO

Authors Fernando Ferraz do Nascimento, Marcelo Bourguignon Pereira

Publication date 16 March 2018

Published in Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/17-bjps378

zbMATH Keywords

exceedance analysisextreme value theorygeneralized classes of distributionsgeneralized Pareto distributionMCMC

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to environmental and related topics (62P12)

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Cited in

(7)

• On high level exceedance modeling and tail inference
• Regression models for exceedance data: a new approach
• Bayesian Methods in Extreme Value Modelling: A Review and New Developments
• Extended generalized extreme value distribution with applications in environmental data
• A Bayesian semi-parametric approach to extreme regime identification
• Accounting for uncertainty in extremal dependence modeling using Bayesian model averaging techniques
• Extended generalised Pareto models for tail estimation

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Uses Software

• ismev

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