Accounting for uncertainty in extremal dependence modeling using Bayesian model averaging techniques
DOI10.1016/J.JSPI.2010.11.038zbMATH Open1207.62109OpenAlexW1974053964MaRDI QIDQ629113FDOQ629113
Authors: P. Apputhurai, Alec G. Stephenson 
Publication date: 8 March 2011
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2010.11.038
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- Bayesian inference for extreme value modelling
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- Bayesian inference for the extremal dependence
simulationBayesian model averagingposterior distributionprior distributionmultivariate extreme value distribution
Bayesian inference (62F15) Multivariate distribution of statistics (62H10) Statistics of extreme values; tail inference (62G32)
Cites Work
- An introduction to statistical modeling of extreme values
- Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
- Markov Chain Monte Carlo Convergence Diagnostics: A Comparative Review
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- Statistics for near independence in multivariate extreme values
- Statistics of Extremes
- Extremes and related properties of random sequences and processes
- Statistical inference using extreme order statistics
- Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
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- Inference for Clusters of Extreme Values
- Monte Carlo sampling methods using Markov chains and their applications
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- Statistical Methods for Multivariate Extremes: An Application to Structural Design
- Dependence measures for extreme value analyses
- Testing asymptotic independence in bivariate extremes
- Order Statistics of Samples from Multivariate Distributions
- A directory of coefficients of tail dependence
- Models and inference for uncertainty in extremal dependence
Cited In (6)
- Models and inference for uncertainty in extremal dependence
- A software review for extreme value analysis
- Maximum likelihood Bayesian averaging of uncertain model predictions
- Bayesian model averaging for multivariate extremes
- Semiparametric bivariate modelling with flexible extremal dependence
- Naive method to test the convergence of simulation and its applications in the computation of bankruptcy probability
Uses Software
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