Bayesian analysis of extreme events with threshold estimation
From MaRDI portal
Publication:3429985
DOI10.1191/1471082X04ST075OAzbMATH Open1111.62023OpenAlexW2112160211MaRDI QIDQ3429985FDOQ3429985
Cibele N. Behrens, Hedibert F. Lopes, Dani Gamerman
Publication date: 20 March 2007
Published in: Statistical Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1191/1471082x04st075oa
Recommendations
- Bayesian analysis of extreme values by mixture modelling
- A Bayesian approach for estimating extreme quantiles under a semiparametric mixture model
- Accounting for the threshold uncertainity in extreme value estimation
- A default Bayesian procedure for the generalized Pareto distribution
- Bayesian inference for extremes: accounting for the three extremal types
Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Inference from iterative simulation using multiple sequences
- Statistical inference using extreme order statistics
- Excess functions and estimation of the extreme-value index
- Title not available (Why is that?)
- Simulation Run Length Control in the Presence of an Initial Transient
- Estimating tails of probability distributions
- A dynamical mixture model for unsupervised tail estimation without threshold selection
- Statistical Methods for Multivariate Extremes: An Application to Structural Design
- Estimating the stable index \(\alpha\) in order to measure tail thickness: a critique
- Bayesian Methods in Extreme Value Modelling: A Review and New Developments
- Extreme Value Theory as a Risk Management Tool
- A predictive approach to tail probability estimation
Cited In (42)
- A flexible extreme value mixture model
- Threshold selection for extremes under a semiparametric model
- Estimation of the Pareto and related distributions – A reference-intrinsic approach
- Extreme value-based methods for modeling elk yearly movements
- Bayesian estimation of locations of lightning events
- Long-term time-dependent stochastic modelling of extreme waves
- A default Bayesian approach for regression on extremes
- Bayesian inference for extreme quantiles of heavy tailed distributions
- Regression models for time-varying extremes
- Assessment of dependent risk using extreme value theory in a time-varying framework
- Bayesian inference for nonstationary marginal extremes
- Accounting for the threshold uncertainity in extreme value estimation
- Time-varying extreme pattern with dynamic models
- Bayesian analysis of tail asymmetry based on a threshold extreme value model
- Bayesian threshold selection for extremal models using measures of surprise
- Statistical learning theory for fitting multimodal distribution to rainfall data: an application
- Multilevel quantile function modeling with application to birth outcomes
- A semiparametric Bayesian approach to extreme value estimation
- Extreme values identification in regression using a peaks-over-threshold approach
- A semi-parametric Bayesian extreme value model using a Dirichlet process mixture of gamma densities
- Predictive Modeling of Threshold Life Tables
- A spatio-temporal model for Red Sea surface temperature anomalies
- Extreme value modelling of water-related insurance claims
- Sequential Monte Carlo samplers to fit and compare insurance loss models
- Bayesian approaches for analyzing earthquake catastrophic risk
- Joint modelling of the body and tail of bivariate data
- Practical strategies for generalized extreme value-based regression models for extremes
- An extreme value Bayesian Lasso for the conditional left and right tails
- A Bayesian spatio-temporal model for precipitation extremes -- STOR team contribution to the EVA2017 challenge
- Default Priors Based on Pseudo-Likelihoods for the Poisson-GPD Model
- Bayesian Spatial Clustering of Extremal Behavior for Hydrological Variables
- Regression models to dependence for exceedance
- A Bayesian semi-parametric mixture model for bivariate extreme value analysis with application to precipitation forecasting
- Bayesian estimation of the threshold of a generalised Pareto distribution for heavy-tailed observations
- A change-point approach for the identification of financial extreme regimes
- Thresholding Events of Extreme in Simultaneous Monitoring of Multiple Risks
- A matching prior for extreme quantile estimation of the generalized Pareto distribution
- Extreme value analysis for evaluating ozone control strategies
- Regression models for the full distribution to exceedance data
- Modelling dependency effect to extreme value distributions with application to extreme wind speed at Port Elizabeth, South Africa: a frequentist and Bayesian approaches
- Parameter estimation of the generalized Pareto distribution. II
- A default Bayesian procedure for the generalized Pareto distribution
Uses Software
This page was built for publication: Bayesian analysis of extreme events with threshold estimation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3429985)
