Non-Parametric Bayesian Inference on Bivariate Extremes

DOI10.1111/j.1467-9868.2010.00770.xzbMath1411.62126arXiv0911.3270MaRDI QIDQ4632661

François Perron, Simon Guillotte, Johan Segers

Publication date: 30 April 2019

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0911.3270

zbMATH Keywords

prediction; Bayes; spectral measure; Markov chain Monte Carlo methods; bivariate extreme value distribution; Metropolis-within-Gibbs sampling; rare event probabilities; reversible jumps; extreme conditional quantiles; \(\phi\)-irreducibility

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

62F15: Bayesian inference

62G32: Statistics of extreme values; tail inference

65C05: Monte Carlo methods

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