A Bayesian approach to extended models for exceedance

DOI10.1214/17-BJPS378zbMath1385.62004OpenAlexW2774673433MaRDI QIDQ1705548

Fernando Ferraz do Nascimento, Marcelo Bourguignon Pereira

Publication date: 16 March 2018

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/17-bjps378

zbMATH Keywords

extreme value theoryMCMCgeneralized Pareto distributionexceedance analysisgeneralized classes of distributions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to environmental and related topics (62P12) Bayesian inference (62F15) Exact distribution theory in statistics (62E15) Statistics of extreme values; tail inference (62G32)

Uses Software

• ismev

Cites Work

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