A Bayesian semi-parametric approach to extreme regime identification

DOI10.1214/15-BJPS293zbMATH Open1359.62080MaRDI QIDQ509588FDOQ509588

Authors: Yong-Cai Geng, Sumit K. Garg 

Publication date: 17 February 2017

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

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zbMATH Keywords

Bayesian inferenceMCMCextreme value theoryenvironmental datageneralized Pareto distribution (GPD)GPD distributionmixture of Gammas distributions

Mathematics Subject Classification ID

Bayesian inference (62F15) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Applications of statistics to environmental and related topics (62P12)

Cited In (1)

• A change-point approach for the identification of financial extreme regimes

Uses Software

• R
• robustbase
• robust

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