Bayesian time-varying quantile regression on exceedance

DOI10.1080/02331888.2022.2146691OpenAlexW4309118867MaRDI QIDQ5058306FDOQ5058306

Authors: Fernando Ferraz do Nascimento, Marcelo Bourguignon 

Publication date: 20 December 2022

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2022.2146691

zbMATH Keywords

quantile regressionextreme value theorygeneralized Pareto distributiontime-varying modelsexceedance analysis

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• An introduction to statistical modeling of extreme values
• Dynamic quantile linear models: a Bayesian approach
• A review of extreme value threshold estimation and uncertainty quantification
• Gibbs sampling methods for Bayesian quantile regression
• Bayesian quantile regression
• Statistical inference using extreme order statistics
• Title not available (Why is that?)
• Bayesian forecasting and dynamic models.
• A default Bayesian procedure for the generalized Pareto distribution
• Time-varying extreme pattern with dynamic models
• Title not available (Why is that?)
• Regression models for time-varying extremes
• A semiparametric Bayesian approach to extreme value estimation
• Fitting the Generalized Pareto Distribution to Data
• Bayesian quantile regression using the skew exponential power distribution
• High quantile regression for extreme events
• Regression models for exceedance data: a new approach
• A semiparametric Bayesian approach for joint-quantile regression with clustered data

Cited In (1)

• Parametric quantile beta regression model

Uses Software

• ismev

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