Reparameterization of extreme value framework for improved Bayesian workflow
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Abstract: Using Bayesian methods for extreme value analysis offers an alternative to frequentist ones, with several advantages such as easily dealing with parametric uncertainty or studying irregular models. However, computations can be challenging and the efficiency of algorithms can be altered by poor parametrization choices. The focus is on the Poisson process characterization of univariate extremes and outline two key benefits of an orthogonal parameterization. First, Markov chain Monte Carlo convergence is improved when applied on orthogonal parameters. This analysis relies on convergence diagnostics computed on several simulations. Second, orthogonalization also helps deriving Jeffreys and penalized complexity priors, and establishing posterior propriety thereof. The proposed framework is applied to return level estimation of Garonne flow data (France).
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Cited in
(22)- A modeler's guide to extreme value software
- Authors' reply to the discussion of: ``Extreme-value modelling of migratory bird arrival dates: insights from citizen-science data
- Authors' reply to the discussion of ``Frequentist prediction sets for species abundance using indirect information at the `Discussion meeting on the analysis of citizen science data'
- Authors' reply to the discussion of: ``Efficient statistical inference methods for assessing changes in species' populations using citizen science data at the `Discussion meeting on the analysis of citizen science data'
- Maozai Tian's contribution to the discussion of the `Discussion meeting on the analysis of citizen science data'
- Stefano Rizzelli's contribution to the discussion of the `Discussion meeting on the analysis of citizen science data'
- Allan Reese's contribution to the discussion of the `Discussion meeting on the analysis of citizen science data'
- Subhash Lele's contribution to the discussion of `The discussion meeting on the analysis of citizen science data'
- Kuldeep Kumar's contribution to the discussion of `The discussion meeting on the analysis of citizen science data'
- Raphaël Huser and Andrew Zammit-Mangion's contribution to the discussion of the `Discussion meeting on the analysis of citizen science data'
- Dani Gamerman's contribution to the discussion of `The discussion meeting on the analysis of citizen science data'
- Abdelaati daouia and gilles Stupfler's contribution to the discussion of the `Discussion meeting on the analysis of citizen science data'
- Léo R. Belzile and Rishikesh Yadav's contribution to the discussion of `The discussion meeting on the analysis of citizen science data'
- Jafet Belmont, Sara Martino, Janine Illian, and Håvard Rue's contribution to the discussion of the `Discussion meeting on the analysis of citizen science data'
- Benjamin R. Baer's contribution to the discussion of `The discussion meeting on analysis of citizen science data'
- Andrej Srakar's contribution to the discussion of `The discussion meeting on the analysis of citizen science data'
- Seconder of the vote of thanks and contribution to the discussion of `the discussion meeting on the analysis of citizen science data'
- Proposer of the vote of thanks and contribution to the discussion of the `Discussion meeting on the analysis of citizen science data'
- Extreme-value modelling of migratory bird arrival dates: insights from citizen science data
- Frequentist prediction sets for species abundance using indirect information
- Efficient statistical inference methods for assessing changes in species' populations using citizen science data
- [[:Publication:7025506|On the use of a local \(\hatTemplate:R\) to improve MCMC convergence diagnostic]]
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