A predictive approach to tail probability estimation

MaRDI QIDQ1409824zbMATH OpenFDO

Authors P. de Zea Bermudes, M. Antonia Amaral-Turkman, Feridun Turkman

Publication date 22 October 2003

Published in Extremes (Search for Journal in Brave)

zbMATH Keywords

Bayesian hierarchical modelsGibbs samplingMarkov chain Monte Carlopeaks over thresholds

Mathematics Subject Classification ID

Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32)

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Cited in

(11)

• Parameter estimation of the generalized Pareto distribution. II
• On tail trend detection: modeling relative risk
• Semi-parametric approach to the Hasofer-Wang and Greenwood statistics in extremes
• Bayesian estimation of the threshold of a generalised Pareto distribution for heavy-tailed observations
• Predicting PDF tails in systems with logarithmic non-linearity
• Accounting for the threshold uncertainity in extreme value estimation
• Bayesian analysis of extreme events with threshold estimation
• Predicting high quantiles through the Dirichlet process on extreme modelling
• Optimal threshold determination based on the mean excess plot
• Extreme Value Theory and Statistics of Univariate Extremes: A Review
• A semiparametric Bayesian approach to extreme value estimation

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