Posterior propriety in Bayesian extreme value analyses using reference priors

DOI10.5705/ss.2014.034zbMath1360.62247arXiv1505.04983OpenAlexW2197760033MaRDI QIDQ2796878

Paul J. Northrop, Nicolas Attalides

Publication date: 30 March 2016

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.04983

zbMATH Keywords

extreme value theorygeneralized extreme value distributionposterior proprietyreference priorgeneralized Pareto distribution

Mathematics Subject Classification ID

Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32) Probability distributions: general theory (60E05)

Related Items (9)

Consistency of Bayesian inference for multivariate max-stable distributions ⋮ A Poisson process reparameterisation for Bayesian inference for extremes ⋮ Power Laws Distributions in Objective Priors ⋮ Reference Priors for the Generalized Extreme Value Distribution ⋮ A modeler's guide to extreme value software ⋮ Posterior properties of the Weibull distribution for censored data ⋮ Estimation and uncertainty quantification for extreme quantile regions ⋮ Flexible link functions in nonparametric binary regression with Gaussian process priors ⋮ A flexible cure rate model for spatially correlated survival data based on generalized extreme value distribution and Gaussian process priors

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