Bayesian inference for extreme quantiles of heavy tailed distributions

DOI10.1016/J.SPL.2016.02.020zbMATH Open1384.62086OpenAlexW2296482986MaRDI QIDQ274181FDOQ274181

Authors Rafael B. A. Farias, Michel H. Montoril, Jose Ailton Alencar Andrade

Publication date 22 April 2016

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2016.02.020

zbMATH Keywords

heavy tailhigh quantileHPD interval

Mathematics Subject Classification ID

Bayesian inference (62F15) Asymptotic distribution theory in statistics (62E20)

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Cites work

• A default Bayesian approach for regression on extremes
• A new class of models for heavy tailed distributions in finance and insurance risk
• Bayesian Methods in Extreme Value Modelling: A Review and New Developments
• Bayesian analysis of extreme events with threshold estimation
• Confidence regions for high quantiles of a heavy tailed distribution
• Empirical-likelihood-based confidence interval for the mean with a heavy-tailed distribution.
• Modeling actuarial data with a composite lognormal-Pareto model
• Skew mixture models for loss distributions: a Bayesian approach
• Statistics of Extremes
• Weak convergence and optimal scaling of random walk Metropolis algorithms

Cited in

(8)

• Bayesian quantiles of extremes
• The beta skew \(t\) distribution and its properties
• Bayesian nonparametrics for heavy tailed distribution. Application to food risk assessment
• Gamma mixture of generalized error distribution
• Predicting high quantiles through the Dirichlet process on extreme modelling
• A predictive approach to tail probability estimation
• Inference for heavy tailed distributions
• Bayesian inference for extremes: accounting for the three extremal types

Describes a project that uses

Uses Software

• R
• CODA

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