Bayesian inference for clustered extremes (Q1003325)
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scientific article; zbMATH DE number 5520599
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bayesian inference for clustered extremes |
scientific article; zbMATH DE number 5520599 |
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Bayesian inference for clustered extremes (English)
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28 February 2009
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Bayesian inference for extremal index, mean cluster size and other cluster functionals of extremes in a dependent stationary sequence is considered. A Metropolis-Hastings sampler is described for sampling from the posterior distribution of parameters. Performance of the algorithm is investigated on simulated data. An application to a wind speed data is presented.
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extremal index
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mean cluster size
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stationary time series
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Metropolis-Hastings sampler
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