Time-varying extreme pattern with dynamic models
DOI10.1007/S11749-015-0444-4zbMATH Open1336.62099OpenAlexW240718041MaRDI QIDQ285844FDOQ285844
Authors: Fernando Ferraz do Nascimento, Dani Gamerman, Hedibert F. Lopes 
Publication date: 19 May 2016
Published in: Test (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11749-015-0444-4
Recommendations
- Modelling time series extremes
- Regression models for time-varying extremes
- scientific article; zbMATH DE number 6739318
- Moving-maximum models for extrema of time series
- Modelling extremes of time-dependent data by Markov-switching structures
- Modelling bursty time series
- A TIME SERIES MODEL WITH SUDDENLY CHANGING PARAMETERS
Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
Cites Work
- An introduction to statistical modeling of extreme values
- Estimating the dimension of a model
- Bayesian Measures of Model Complexity and Fit
- Accounting for the threshold uncertainity in extreme value estimation
- A review of extreme value threshold estimation and uncertainty quantification
- Statistical inference using extreme order statistics
- Title not available (Why is that?)
- Markov chain Monte Carlo. Stochastic simulation for Bayesian inference.
- Bayesian forecasting and dynamic models.
- Estimating the stable index \(\alpha\) in order to measure tail thickness: a critique
- A flexible extreme value mixture model
- A survey of spatial extremes: measuring spatial dependence and modeling spatial effects
- Bayesian analysis of extreme events with threshold estimation
- Bayesian Methods in Extreme Value Modelling: A Review and New Developments
- Simulation-based sequential analysis of Markov switching stochastic volatility models
- Smoothing sample extremes with dynamic models
- Title not available (Why is that?)
- Title not available (Why is that?)
- A semiparametric Bayesian approach to extreme value estimation
Cited In (15)
- Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes
- A latent process model for temporal extremes
- Regression models for time-varying extremes
- Bayesian time-varying quantile regression to extremes
- A Bayesian model for multiple change point to extremes, with application to environmental and financial data
- Nonstationarity in peaks-over-threshold river flows: a regional random effects model
- Dynamic linear seasonal models applied to extreme temperature data: a Bayesian approach using the r-larger order statistics distribution
- Bayesian time-varying quantile regression on exceedance
- Regression models for exceedance data: a new approach
- A Bayesian approach to extended models for exceedance
- A change-point approach for the identification of financial extreme regimes
- Semiparametric bivariate modelling with flexible extremal dependence
- Modeling and predicting Chinese stock downside risks via Gaussian mixture models and marked self-exciting point process
- Regression models for the full distribution to exceedance data
- A Bayesian approach to zero-inflated data in extremes
This page was built for publication: Time-varying extreme pattern with dynamic models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q285844)
