Efficient estimation and particle filter for max-stable processes

DOI10.1111/j.1467-9892.2011.00740.xzbMath1300.62094OpenAlexW1499955083MaRDI QIDQ2930901

Yasuhiro Omori, Zhengjun Zhang, Tsuyoshi Kunihama

Publication date: 20 November 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2011/2011cf791.pdf

zbMATH Keywords

Bayesian analysisMarkov chain Monte Carlomarginal likelihoodextreme value theorystock returnsmaxima of moving maxima processes

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Extreme value theory; extremal stochastic processes (60G70) Economic time series analysis (91B84) Stable stochastic processes (60G52)

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Uses Software

• ismev

Cites Work

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