A full Bayesian approach to generalized maximum likelihood estimation of generalized extreme value distribution

DOI10.1007/S00477-009-0362-7MaRDI QIDQ2002033zbMATH OpenOpenAlexFDO

Authors Seonkyoo Yoon, Woncheol Cho, Jun-Haeng Heo, Chul Eung Kim

Publication date 11 July 2019

Published in Stochastic Environmental Research and Risk Assessment (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00477-009-0362-7

zbMATH Keywords

Bayesian analysisbeta distributiongeneralized maximum likelihood estimatorGEV distribution

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32)

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Cites work

• A regional Bayesian POT model for flood frequency analysis
• A simulation-based hyperparameter selection for quantile estimation of the generalized extreme value distribution
• An introduction to statistical modeling of extreme values
• Anticipating Catastrophes through Extreme Value Modelling
• Bayesian inference for extremes: accounting for the three extremal types
• scientific article; zbMATH DE number 1911984 (Why is no real title available?)
• Likelihood-based inference for extreme value model
• Modelling Extreme Wind Speeds in Regions Prone to Hurricanes
• Statistics of Extremes

Cited in

(5)

• Bayesian quantiles of extremes
• Long-term time-dependent stochastic modelling of extreme waves
• A simulation-based hyperparameter selection for quantile estimation of the generalized extreme value distribution
• Application of Bayesian approach to hydrological frequency analysis
• Fast parameter estimation of generalized extreme value distribution using neural networks

Describes a project that uses

Uses Software

• AS 215
• BayesDA
• ismev

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