Semi-parametric modeling of excesses above high multivariate thresholds with censored data

DOI10.1016/j.jmva.2015.01.014zbMath1308.62105arXiv1412.0838MaRDI QIDQ2018601

Anne Sabourin

Publication date: 24 March 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1412.0838

zbMATH Keywords

multivariate extremes; censored data; data augmentation; MCMC algorithms; semiparametric Bayesian inference

Mathematics Subject Classification ID

62G07: Density estimation

62H12: Estimation in multivariate analysis

62P12: Applications of statistics to environmental and related topics

62N01: Censored data models

62F15: Bayesian inference

62G32: Statistics of extreme values; tail inference

62N02: Estimation in survival analysis and censored data

Uses Software

• ismev