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

Recommendations

• A new extreme quantile estimator for heavy-tailed distributions
• High quantiles of heavy-tailed distributions: Their estimation
• Robust and asymptotically unbiased estimation of extreme quantiles for heavy tailed distributions
• Confidence regions for high quantiles of a heavy tailed distribution
• Estimation of high conditional quantiles for heavy-tailed distributions

zbMATH Keywords

heavy tailhigh quantileHPD interval

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (8)

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

Uses Software

• R
• CODA

This page was built for publication: Bayesian inference for extreme quantiles of heavy tailed distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q274181)