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

DOI10.1007/s11009-019-09723-7zbMath1434.62073OpenAlexW2946308425MaRDI QIDQ2283671

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

spectral measureBayesian inferencebivariate extremes\(m\)-splinesmonotone shapereversible-jumps MCMC

Mathematics Subject Classification ID

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

Related Items (2)

Asymptotic behavior of an intrinsic rank-based estimator of the Pickands dependence function constructed from B-splines ⋮ Bayesian inference with \(M\)-splines on spectral measure of bivariate extremes

Uses Software

• ismev

Cites Work

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