Data driven estimates for mixtures

DOI10.1016/J.CSDA.2003.12.006MaRDI QIDQ957036zbMATH OpenOpenAlexFDO

Authors Beatriz Vaz de Melo Mendes, Hedibert F. Lopes

Publication date 26 November 2008

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2003.12.006

zbMATH Keywords

extreme value theoryrobustnesssimulationsmixtures

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Statistics of extreme values; tail inference (62G32)

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Cites work

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• An introduction to statistical modeling of extreme values
• Bayesian Density Estimation and Inference Using Mixtures
• Estimating Normal Means with a Dirichlet Process Prior
• Estimating tails of probability distributions
• Extremes and related properties of random sequences and processes
• Finite mixture models
• Kernel density estimation and marginalization consistency
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Practical Bayesian Density Estimation Using Mixtures of Normals
• Robust Statistics
• Statistical analysis of finite mixture distributions
• Statistical inference using extreme order statistics

Cited in

(8)

• A flexible extreme value mixture model
• Editorial: Advances in mixture models
• Modeling loss data using mixtures of distributions
• Mixture of shifted binomial distributions for rating data
• Sequential Monte Carlo samplers to fit and compare insurance loss models
• Practical strategies for generalized extreme value-based regression models for extremes
• Bayesian estimation of the threshold of a generalised Pareto distribution for heavy-tailed observations
• Fitting heavy-tailed mixture models with CVaR constraints

Describes a project that uses

Uses Software

• ismev

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