A Bayesian semi-parametric approach to extreme regime identification

DOI10.1214/15-BJPS293zbMath1359.62080MaRDI QIDQ509588

Yong-Cai Geng, Sumit K. Garg

Publication date: 17 February 2017

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

zbMATH Keywords

extreme value theory; Bayesian inference; MCMC; environmental data; generalized Pareto distribution (GPD); GPD distribution; mixture of Gammas distributions

Mathematics Subject Classification ID

62P12: Applications of statistics to environmental and related topics

62F15: Bayesian inference

60G70: Extreme value theory; extremal stochastic processes

62G32: Statistics of extreme values; tail inference

Uses Software

• R
• robust
• robustbase