A semiparametric Bayesian approach to extreme value estimation

DOI10.1007/S11222-011-9270-ZMaRDI QIDQ746243zbMATH OpenOpenAlexFDO

Authors Fernando Ferraz do Nascimento, Dani Gamerman, Hedibert F. Lopes

Publication date 16 October 2015

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11222-011-9270-z

zbMATH Keywords

BayesianMCMCthreshold estimationGPDhigher quantilesnonparametric estimation of curves

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Applications of statistics to environmental and related topics (62P12)

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Cited in

(29)

• Regression models for exceedance data: a new approach
• A Bayesian approach to extended models for exceedance
• A semi-parametric Bayesian extreme value model using a Dirichlet process mixture of gamma densities
• Predictive modeling of threshold life tables
• On the Riesz estimation of multivariate probability density functions
• An extreme value Bayesian Lasso for the conditional left and right tails
• Time-varying extreme pattern with dynamic models
• Regression models for the full distribution to exceedance data
• Semi-parametric estimation of multivariate extreme expectiles
• Bayesian estimation of the tail index of a heavy tailed distribution under random censoring
• Regression models for time-varying extremes
• A modeler's guide to extreme value software
• A change-point approach for the identification of financial extreme regimes
• A Bayesian semi-parametric mixture model for bivariate extreme value analysis with application to precipitation forecasting
• Bayesian Methods in Extreme Value Modelling: A Review and New Developments
• Bayesian time-varying quantile regression on exceedance
• Bayesian estimation of the threshold of a generalised Pareto distribution for heavy-tailed observations
• A semiparametric method to simulate bivariate space-time extremes
• Semiparametric bivariate modelling with flexible extremal dependence
• Threshold selection for extremes under a semiparametric model
• A Bayesian approach for estimating extreme quantiles under a semiparametric mixture model
• On posterior consistency of tail index for Bayesian kernel mixture models
• Bayesian approaches for analyzing earthquake catastrophic risk
• Semiparametric estimation of extremes
• MCMC4Extremes: an R package for Bayesian inference for extremes and its extensions
• A Bayesian semi-parametric approach to extreme regime identification
• Regression models to dependence for exceedance
• Heavy-Tailed Density Estimation
• Joint modelling of the body and tail of bivariate data

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