Time-varying extreme pattern with dynamic models

DOI10.1007/S11749-015-0444-4MaRDI QIDQ285844zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

BayesianMCMCnonparametricGPD

Mathematics Subject Classification ID

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)

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Cites work

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• Estimating the dimension of a model
• Estimating the stable index in order to measure tail thickness: a critique
• Markov chain Monte Carlo. Stochastic simulation for Bayesian inference.
• Simulation-based sequential analysis of Markov switching stochastic volatility models
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• Statistical inference using extreme order statistics

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
• A Bayesian approach to extended models for exceedance
• Regression models for exceedance data: a new approach
• 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

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