A semi-parametric Bayesian extreme value model using a Dirichlet process mixture of gamma densities
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Cites work
- A Bayesian analysis of some nonparametric problems
- A default Bayesian procedure for the generalized Pareto distribution
- A dynamical mixture model for unsupervised tail estimation without threshold selection
- A flexible extreme value mixture model
- A hybrid Pareto model for asymmetric fat-tailed data: the univariate case
- A review of extreme value threshold estimation and uncertainty quantification
- A semiparametric Bayesian approach to extreme value estimation
- An alternative to the inverted gamma for the variances to modelling outliers and structural breaks in dynamic models
- An introduction to statistical modeling of extreme values
- Anticipating Catastrophes through Extreme Value Modelling
- Bayesian analysis of extreme events with threshold estimation
- Bayesian Density Estimation and Inference Using Mixtures
- Estimating normal means with a conjugate style dirichlet process prior
- Finite mixture and Markov switching models.
- Inference from iterative simulation using multiple sequences
- Mixtures of Dirichlet processes with applications to Bayesian nonparametric problems
- Modeling censored lifetime data using a mixture of gammas baseline
- Statistical inference using extreme order statistics
Cited in
(10)- Semiparametric bivariate modelling with flexible extremal dependence
- Bayesian estimation of the threshold of a generalised Pareto distribution for heavy-tailed observations
- On posterior consistency of tail index for Bayesian kernel mixture models
- A Bayesian approach for estimating extreme quantiles under a semiparametric mixture model
- Predicting high quantiles through the Dirichlet process on extreme modelling
- A Bayesian semi-parametric approach to extreme regime identification
- A Bayesian semi-parametric mixture model for bivariate extreme value analysis with application to precipitation forecasting
- A Mixture Model for Multivariate Extremes
- A semiparametric Bayesian approach to extreme value estimation
- A flexible extreme value mixture model
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