Bayesian time-varying quantile regression on exceedance

DOI10.1080/02331888.2022.2146691MaRDI QIDQ5058306zbMATH OpenOpenAlexFDO

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

exceedance analysisextreme value theorygeneralized Pareto distributionquantile regressiontime-varying models

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A default Bayesian procedure for the generalized Pareto distribution
• A review of extreme value threshold estimation and uncertainty quantification
• A semiparametric Bayesian approach for joint-quantile regression with clustered data
• A semiparametric Bayesian approach to extreme value estimation
• An introduction to statistical modeling of extreme values
• Bayesian forecasting and dynamic models.
• Bayesian quantile regression
• Bayesian quantile regression using the skew exponential power distribution
• Dynamic quantile linear models: a Bayesian approach
• Fitting the Generalized Pareto Distribution to Data
• Gibbs sampling methods for Bayesian quantile regression
• High quantile regression for extreme events
• scientific article; zbMATH DE number 4159879 (Why is no real title available?)
• scientific article; zbMATH DE number 3917511 (Why is no real title available?)
• Regression models for exceedance data: a new approach
• Regression models for time-varying extremes
• Statistical inference using extreme order statistics
• Time-varying extreme pattern with dynamic models

Cited in

(2)

• Parametric quantile beta regression model
• Parametric quantile regression based on the inverse Gaussian distribution

Describes a project that uses

Uses Software

• ismev

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