Regression models to dependence for exceedance

DOI10.1080/02664763.2020.1795088MaRDI QIDQ5861152zbMATH OpenOpenAlexFDO

Authors Fernando Ferraz do Nascimento, Andreson Almeida Azevedo, Valmária Rocha da Silva Ferraz

Publication date 4 March 2022

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664763.2020.1795088

zbMATH Keywords

BayesianextremesGPD distributionMCMCriver dependence

Mathematics Subject Classification ID

Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32) Applications of statistics (62Pxx)

Recommendations

• Multivariate extreme value analysis
• scientific article; zbMATH DE number 4159879
• Extremes on river networks
• Extreme dependence models
• Assessing conditional extremal risk of flooding in Puerto Rico

Cites work

• A Conditional Approach for Multivariate Extreme Values (with Discussion)
• A default Bayesian approach for regression on extremes
• A semiparametric Bayesian approach to extreme value estimation
• An introduction to statistical modeling of extreme values
• Assessing conditional extremal risk of flooding in Puerto Rico
• Bayesian analysis of extreme events with threshold estimation
• Bayesian Measures of Model Complexity and Fit
• scientific article; zbMATH DE number 4159879 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• Inference from iterative simulation using multiple sequences
• Markov Chain Monte Carlo Convergence Diagnostics: A Comparative Review
• Markov chain Monte Carlo. Stochastic simulation for Bayesian inference.
• Regression models for time-varying extremes
• Statistical inference using extreme order statistics

Cited in

(3)

• Assessing conditional extremal risk of flooding in Puerto Rico
• Exceedance-based nonlinear regression of tail dependence
• Extremes on river networks

Describes a project that uses

Uses Software

• ismev

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