Regression models for change point data in extremes

DOI10.1214/20-BJPS488MaRDI QIDQ2233641zbMATH OpenOpenAlexFDO

Authors Fernando Ferraz do Nascimento, Alan da Silva Assunção

Publication date 11 October 2021

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

Full work available at URL https://doi.org/10.1214/20-bjps488

zbMATH Keywords

change pointsBayesian approachextreme eventsregression structureriver quota

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Statistics of extreme values; tail inference (62G32) Applications of statistics to environmental and related topics (62P12)

Recommendations

• A Bayesian model for multiple change point to extremes, with application to environmental and financial data
• Detecting change-points in extremes
• A likelihood ratio model for change point detection of generalized Pareto distribution
• A change-point model for the \(r\)-largest order statistics with applications to environmental and financial data
• scientific article; zbMATH DE number 1485432

Cites work

• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• A Bayesian Analysis for Change Point Problems
• A Bayesian model for multiple change point to extremes, with application to environmental and financial data
• A change-point model for the \(r\)-largest order statistics with applications to environmental and financial data
• A default Bayesian procedure for the generalized Pareto distribution
• An introduction to statistical modeling of extreme values
• Bayesian Retrospective Multiple-Changepoint Identification
• Detecting change-points in extremes
• Dirichlet process hidden Markov multiple change-point model
• Estimation and comparison of multiple change-point models
• Generalized Additive Modelling of Sample Extremes
• Hierarchical Bayesian Analysis of Changepoint Problems
• Markov chain Monte Carlo. Stochastic simulation for Bayesian inference.

Cited in

(6)

• A likelihood ratio model for change point detection of generalized Pareto distribution
• Extreme value modeling with errors-in-variables in detection and attribution of changes in climate extremes
• A change-point approach for the identification of financial extreme regimes
• A Bayesian model for multiple change point to extremes, with application to environmental and financial data
• Detecting change-points in extremes
• Simple change point model in heteroscedastic extremes

Describes a project that uses

Uses Software

• ismev

This page was built for publication: Regression models for change point data in extremes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2233641)