Bayesian inference with M-splines on spectral measure of bivariate extremes

DOI10.1007/S11009-019-09723-7MaRDI QIDQ2283671zbMATH OpenOpenAlexFDO

Authors Khader Khadraoui, Pierre Ribereau

Publication date 13 January 2020

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-019-09723-7

zbMATH Keywords

\(m\)-splinesBayesian inferencebivariate extremesmonotone shapereversible-jumps MCMCspectral measure

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Estimation in multivariate analysis (62H12) Inference from stochastic processes and spectral analysis (62M15) Numerical computation using splines (65D07)

Recommendations

• Non-parametric Bayesian inference on bivariate extremes
• Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribu\-tion
• Nonparametric estimation of the spectral measure of an extreme value distribution.
• Using B-splines for nonparametric inference on bivariate extreme-value copulas
• Bayesian inference for the extremal dependence

Cites work

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• Estimating the probability of a rare event
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• Limit theory for multivariate sample extremes
• Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribu\-tion
• Non-parametric Bayesian inference on bivariate extremes
• Non-parametric Estimation of Tail Dependence
• Nonparametric adaptive Bayesian regression using priors with tractable normalizing constants and under qualitative assumptions
• Nonparametric estimation of the spectral measure of an extreme value distribution.
• Parametric tail copula estimation and model testing
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Sea and wind: multivariate extremes at work
• Statistical Methods for Multivariate Extremes: An Application to Structural Design
• Statistics for near independence in multivariate extreme values
• Statistics of Extremes
• Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition

Cited in

(5)

• Bayesian inference with \(M\)-splines on spectral measure of bivariate extremes
• Bayesian spectral density estimation using P-splines with quantile-based knot placement
• Asymptotic behavior of an intrinsic rank-based estimator of the Pickands dependence function constructed from B-splines
• Non-parametric Bayesian inference on bivariate extremes
• Bayesian inference for the extremal dependence

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Uses Software

• ismev

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