Modelling extremes using approximate Bayesian computation

MaRDI QIDQ5272726zbMATH OpenFDO

Authors Robert J. Erhardt, S. A. Sisson

Publication date 4 July 2017

Full work available at URL https://arxiv.org/abs/1411.1451

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

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Cited in

(12)

• An approximate likelihood perspective on ABC methods
• Recalibration: a post-processing method for approximate Bayesian computation
• ABC model selection for spatial extremes models applied to south Australian maximum temperature data
• Bayesian analysis of extreme values by mixture modelling
• Detecting conflicting summary statistics in likelihood-free inference
• Fitting the Bartlett-Lewis rainfall model using approximate Bayesian computation
• Approximate Bayesian computations to fit and compare insurance loss models
• Approximate Bayesian computing for spatial extremes
• Bayesian Methods in Extreme Value Modelling: A Review and New Developments
• Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’
• Accounting for uncertainty in extremal dependence modeling using Bayesian model averaging techniques
• An efficient likelihood-free Bayesian inference method based on sequential neural posterior estimation

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