MCMC4Extremes: an R package for Bayesian inference for extremes and its extensions

DOI10.1080/03610918.2019.1653914MaRDI QIDQ5082826zbMATH OpenOpenAlexWikidataFDO

Authors W. V. M. e Silva, Fernando Ferraz do Nascimento

Publication date 21 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2019.1653914

zbMATH Keywords

Bayesian modelextreme valuesMarkov chain Monte Carlo (MCMC)posterior distributionspredictive distributionsRreturn levels

Mathematics Subject Classification ID

Statistics (62-XX)

Recommendations

• Bayesian inference for extreme value modelling
• Bayesian inference for generalized extreme value distributions via Hamiltonian Monte Carlo
• Bayesian inference for extremes: accounting for the three extremal types
• Bayesian inference for multivariate extreme value distributions
• Univariate extreme value mixture modeling

Cites work

• A Conditional Approach for Multivariate Extreme Values (with Discussion)
• A default Bayesian procedure for the generalized Pareto distribution
• A semiparametric Bayesian approach to extreme value estimation
• Extended generalized extreme value distribution with applications in environmental data
• Markov chain Monte Carlo. Stochastic simulation for Bayesian inference.
• Nonparametric Confidence Regions for L-Moments
• Statistical inference using extreme order statistics
• The gamma-exponentiated exponential distribution

Cited in

(1)

• MCMC4Extremes

Describes a project that uses

Uses Software

• R
• extRemes
• copula
• lmom
• copula
• SpatialExtremes
• texmex
• evdbayes
• fExtremes
• RMetrics
• evir
• ismev
• evmix
• eventstudies
• ABCExtremes

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