Regression models for time-varying extremes

DOI10.1080/00949655.2017.1385788MaRDI QIDQ4960542zbMATH OpenOpenAlexFDO

Authors Stênio Rodrigues Lima, Fernando Ferraz do Nascimento, Valmária Rocha da Silva Ferraz

Publication date 23 April 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2017.1385788

zbMATH Keywords

Bayesdynamic modelsextremesGPDMCMCregression

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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• A Conditional Approach for Multivariate Extreme Values (with Discussion)
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• A flexible extreme value mixture model
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• Bayesian Methods in Extreme Value Modelling: A Review and New Developments
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• Markov chain Monte Carlo. Stochastic simulation for Bayesian inference.
• Smoothing sample extremes with dynamic models
• Statistical inference using extreme order statistics
• Time-varying extreme pattern with dynamic models

Cited in

(13)

• Moving-maximum models for extrema of time series
• A change-point approach for the identification of financial extreme regimes
• Extreme value autoregressive model and its applications
• Regression models for exceedance data: a new approach
• Time-varying extreme pattern with dynamic models
• scientific article; zbMATH DE number 7219016 (Why is no real title available?)
• Dynamic linear seasonal models applied to extreme temperature data: a Bayesian approach using the r-larger order statistics distribution
• Tree-structured extreme value model regression
• Bayesian time-varying quantile regression on exceedance
• Regression models to dependence for exceedance
• Reduced order models for the prediction of the time of occurrence of extreme episodes
• Modeling and predicting Chinese stock downside risks via Gaussian mixture models and marked self-exciting point process
• Bayesian time-varying quantile regression to extremes

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