A predictive approach to tail probability estimation

zbMath1023.62031MaRDI QIDQ1409824

P. de Zea Bermudes, M. Antonia Amaral-Turkman, Feridun Turkman

Publication date: 22 October 2003

Published in: Extremes (Search for Journal in Brave)

zbMATH Keywords

Markov chain Monte CarloGibbs samplingBayesian hierarchical modelspeaks over thresholds

Mathematics Subject Classification ID

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

Related Items (8)

Semi-parametric approach to the Hasofer-Wang and Greenwood statistics in extremes ⋮ Bayesian estimation of the threshold of a generalised Pareto distribution for heavy-tailed observations ⋮ Optimal threshold determination based on the mean excess plot ⋮ Extreme Value Theory and Statistics of Univariate Extremes: A Review ⋮ Accounting for the threshold uncertainity in extreme value estimation ⋮ Parameter estimation of the generalized Pareto distribution. II ⋮ A semiparametric Bayesian approach to extreme value estimation ⋮ Bayesian analysis of extreme events with threshold estimation

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