A latent process model for temporal extremes
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Cites work
- A multivariate gamma distribution arising from a Markov model
- A note on composite likelihood inference and model selection
- A note on the innovation distribution of a gamma distributed autoregressive process
- Consistent and asymptotically normal parameter estimates for hidden Markov models
- Extremes and related properties of random sequences and processes
- Extremes of Markov Chains with Tail Switching Potential
- First-order autoregressive gamma sequences and point processes
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- scientific article; zbMATH DE number 5204924 (Why is no real title available?)
- Markov chain models for threshold exceedances
- Models for dependent extremes using stable mixtures
- Models for the extremes of Markov chains
- On weighting of bivariate margins in pairwise likelihood
- Smoothing sample extremes with dynamic models
- Spatial regression models for extremes
- Statistical inference using extreme order statistics
- The extremal index for a Markov chain
- The use of subseries values for estimating the variance of a general statistic from a stationary sequence
Cited in
(13)- Modelling extremes of time-dependent data by Markov-switching structures
- Generalized extreme value distribution with time-dependence using the AR and MA models in state space form
- Parametric models for distributions when interest is in extremes with an application to daily temperature
- Modeling extreme values of processes observed at irregular time steps: application to significant wave height
- Latent process modelling of threshold exceedances in hourly rainfall series
- Dynamic generalized extreme value modeling via particle filters
- A hierarchical model for serially-dependent extremes: a study of heat waves in the western US
- Hierarchical space-time modeling of asymptotically independent exceedances with an application to precipitation data
- Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes
- An exponential-gamma mixture model for extreme Santa Ana winds
- Spatial hierarchical modeling of threshold exceedances using rate mixtures
- P-min-stable regression models for time series with extreme values of limited range
- Multivariate peaks-over-threshold with latent variable representations of generalized Pareto vectors
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