A semiparametric Bayesian approach to extreme value estimation
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Publication:746243
DOI10.1007/S11222-011-9270-ZzbMATH Open1322.62049OpenAlexW2172282971MaRDI QIDQ746243FDOQ746243
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
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Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Applications of statistics to environmental and related topics (62P12)
Cites Work
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Cited In (27)
- A modeler's guide to extreme value software
- Heavy-Tailed Density Estimation
- Regression models for time-varying extremes
- Time-varying extreme pattern with dynamic models
- Semi-parametric estimation of multivariate extreme expectiles
- A Bayesian approach for estimating extreme quantiles under a semiparametric mixture model
- On posterior consistency of tail index for Bayesian kernel mixture models
- A semi-parametric Bayesian extreme value model using a Dirichlet process mixture of gamma densities
- On the Riesz estimation of multivariate probability density functions
- Predictive Modeling of Threshold Life Tables
- Bayesian approaches for analyzing earthquake catastrophic risk
- Joint modelling of the body and tail of bivariate data
- MCMC4Extremes: an R package for Bayesian inference for extremes and its extensions
- An extreme value Bayesian Lasso for the conditional left and right tails
- Regression models to dependence for exceedance
- A Bayesian semi-parametric mixture model for bivariate extreme value analysis with application to precipitation forecasting
- Bayesian estimation of the threshold of a generalised Pareto distribution for heavy-tailed observations
- Semiparametric estimation of extremes
- A semiparametric method to simulate bivariate space-time extremes
- Bayesian time-varying quantile regression on exceedance
- Regression models for exceedance data: a new approach
- A Bayesian approach to extended models for exceedance
- A change-point approach for the identification of financial extreme regimes
- Semiparametric bivariate modelling with flexible extremal dependence
- Bayesian estimation of the tail index of a heavy tailed distribution under random censoring
- Regression models for the full distribution to exceedance data
- Bayesian Methods in Extreme Value Modelling: A Review and New Developments
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