Bayesian time-varying quantile regression to extremes

DOI10.1002/env.2596MaRDI QIDQ6626134zbMATH OpenFDO

Authors Fernando Ferraz do Nascimento, Marcelo Bourguignon

Publication date 28 October 2024

Published in Environmetrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/env.2596

zbMATH Keywords

extreme value theorygeneralized extreme value distributionmaximum analysisquantile regressiontime-varying models

Mathematics Subject Classification ID

Applications of statistics to environmental and related topics (62P12)

Cites work

• A Bayesian model for multiple change point to extremes, with application to environmental and financial data
• A default Bayesian approach for regression on extremes
• An introduction to statistical modeling of extreme values
• Bayesian forecasting and dynamic models.
• Bayesian quantile regression
• Extended generalized extreme value distribution with applications in environmental data
• Extreme value theory applied to \(r\) largest order statistics under the Bayesian approach
• Gibbs sampling methods for Bayesian quantile regression
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• Limiting forms of the frequency distribution of the largest or smallest member of a sample.
• Markov chain Monte Carlo. Stochastic simulation for Bayesian inference.
• Regression models for time-varying extremes
• Smoothing sample extremes with dynamic models
• Time series. Modeling, computation, and inference.
• Time-varying extreme pattern with dynamic models

Cited in

(4)

• Parametric quantile beta regression model
• Parametric estimation of non-crossing quantile functions
• Parametric quantile regression based on the inverse Gaussian distribution
• Regression in extremes using the four-parameter Kappa distribution

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