Bayesian analysis of extreme events with threshold estimation
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Publication:3429985
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Cites work
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- A dynamical mixture model for unsupervised tail estimation without threshold selection
- A predictive approach to tail probability estimation
- Bayesian Methods in Extreme Value Modelling: A Review and New Developments
- Estimating tails of probability distributions
- Estimating the stable index \(\alpha\) in order to measure tail thickness: a critique
- Excess functions and estimation of the extreme-value index
- Extreme Value Theory as a Risk Management Tool
- Inference from iterative simulation using multiple sequences
- Simulation Run Length Control in the Presence of an Initial Transient
- Statistical Methods for Multivariate Extremes: An Application to Structural Design
- Statistical inference using extreme order statistics
Cited in
(45)- Bayesian threshold selection for extremal models using measures of surprise
- A flexible extreme value mixture model
- Bayesian Spatial Clustering of Extremal Behavior for Hydrological Variables
- Practical strategies for generalized extreme value-based regression models for extremes
- A semi-parametric Bayesian extreme value model using a Dirichlet process mixture of gamma densities
- Bayesian inference for extreme quantiles of heavy tailed distributions
- Predictive modeling of threshold life tables
- An extreme value Bayesian Lasso for the conditional left and right tails
- Multilevel quantile function modeling with application to birth outcomes
- Generalized fiducial confidence intervals for extremes
- Time-varying extreme pattern with dynamic models
- Regression models for the full distribution to exceedance data
- Default priors based on pseudo-likelihoods for the Poisson-GPD model
- Regression models for time-varying extremes
- Extreme value-based methods for modeling elk yearly movements
- A spatio-temporal model for Red Sea surface temperature anomalies
- Assessment of dependent risk using extreme value theory in a time-varying framework
- Modelling dependency effect to extreme value distributions with application to extreme wind speed at Port Elizabeth, South Africa: a frequentist and Bayesian approaches
- A change-point approach for the identification of financial extreme regimes
- Sequential Monte Carlo samplers to fit and compare insurance loss models
- A Bayesian semi-parametric mixture model for bivariate extreme value analysis with application to precipitation forecasting
- Extreme values identification in regression using a peaks-over-threshold approach
- Bayesian analysis of tail asymmetry based on a threshold extreme value model
- Bayesian estimation of the threshold of a generalised Pareto distribution for heavy-tailed observations
- Statistical learning theory for fitting multimodal distribution to rainfall data: an application
- Extreme value modelling of water-related insurance claims
- Predicting high quantiles through the Dirichlet process on extreme modelling
- Parameter estimation of the generalized Pareto distribution. II
- Threshold selection for extremes under a semiparametric model
- A semiparametric Bayesian approach to extreme value estimation
- A Bayesian approach for estimating extreme quantiles under a semiparametric mixture model
- A default Bayesian procedure for the generalized Pareto distribution
- Bayesian approaches for analyzing earthquake catastrophic risk
- Thresholding Events of Extreme in Simultaneous Monitoring of Multiple Risks
- Extreme value analysis for evaluating ozone control strategies
- Estimation of the Pareto and related distributions – A reference-intrinsic approach
- Bayesian estimation of locations of lightning events
- A Bayesian spatio-temporal model for precipitation extremes -- STOR team contribution to the EVA2017 challenge
- Long-term time-dependent stochastic modelling of extreme waves
- A matching prior for extreme quantile estimation of the generalized Pareto distribution
- Bayesian inference for nonstationary marginal extremes
- Regression models to dependence for exceedance
- A default Bayesian approach for regression on extremes
- Accounting for the threshold uncertainity in extreme value estimation
- Joint modelling of the body and tail of bivariate data
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