Influence measures and robust estimators of dependence in multivariate extremes

DOI10.1007/S10687-010-0114-6MaRDI QIDQ906622zbMATH OpenOpenAlexFDO

Authors Yu-Ling Tsai, Duncan J. Murdoch, Debbie J. Dupuis

Publication date 22 January 2016

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10687-010-0114-6

zbMATH Keywords

multivariate extremesBayesian robustnessinfluence measurecontaminationasymptotic dependence

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric robustness (62G35) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3820920 (Why is no real title available?)
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 1085999 (Why is no real title available?)
• A simple diagnostic tool for local prior sensitivity
• Bivariate extreme statistics. I
• Effects of mis-specification in bivariate extreme value problems
• Markov chain models for threshold exceedances
• Modelling dependence uncertainty in the extremes of Markov chain
• Models and inference for uncertainty in extremal dependence
• Robust Bayesian diagnostics
• Statistics for near independence in multivariate extreme values

Cited in

(4)

• On distributionally robust extreme value analysis
• Multivariate extreme value theory -- a tutorial
• Quantification of empirical determinacy: The impact of likelihood weighting on posterior location and spread in Bayesian meta-analysis estimated with JAGS and INLA
• Detecting and diagnosing prior and likelihood sensitivity with power-scaling

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Uses Software

• BayesDA

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