Smoothing sample extremes with dynamic models

DOI10.1007/S10687-005-6474-7MaRDI QIDQ2488453zbMATH OpenOpenAlexFDO

Authors Carlo Gaetan, Matteo Grigoletto

Publication date 24 May 2006

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10687-005-6474-7

zbMATH Keywords

smoothingextreme value theorygeneralized extreme value distributionnon-Gaussian state-space model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Statistics of extreme values; tail inference (62G32)

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• Modeling and smoothing unequally spaced sequence data
• Penalized likelihood inference in extreme value analyses
• Sequential Monte Carlo Methods in Practice
• Statistical advances in environmental science
• The Signal Extraction Approach to Nonlinear Regression and Spline Smoothing
• Time series analysis by state space methods

Cited in

(17)

• Bivariate extreme analysis of Olympic swimming data
• Smoothing sample extremes: the mixed model approach
• Local Likelihood Smoothing of Sample Extremes
• Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes
• A latent process model for temporal extremes
• Regression models for time-varying extremes
• Time-varying extreme pattern with dynamic models
• Bayesian time-varying quantile regression to extremes
• Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations (with discussion)
• Dynamic generalized extreme value modeling via particle filters
• Preelectoral polls variability: a hierarchical Bayesian model to assess the role of house effects with application to Italian elections
• Efficient estimation and particle filter for max-stable processes
• Stochastic tail index model for high frequency financial data with Bayesian analysis
• State-space models for maxima precipitation
• On tail trend detection: modeling relative risk
• Generalized extreme value distribution with time-dependence using the AR and MA models in state space form
• scientific article; zbMATH DE number 3954119 (Why is no real title available?)

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